Functional convex order for the scaled McKean-Vlasov processes

DOI10.1214/22-AAP1924arXiv2005.03154OpenAlexW3022277802MaRDI QIDQ6179331FDOQ6179331

Gilles Pagès, Yating Liu

Publication date: 16 January 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We establish the functional convex order results for two scaled McKean-Vlasov processes $X=(X_t{)}_{tin[0,T]}$ and $Y=(Y_t{)}_{tin[0,T]}$ defined on a filtered probability space $(Omega,mathcalF,(mathcal{F}_t{)}_{tgeq0},mathbbP)$ by [�egin{cases} dX_{t}= b(t, X_{t}, mu_{t})dt+sigma(t, X_{t}, mu_{t})dB_{t}, ;;X_{0}in L^{p}(mathbb{P}),\ dY_{t},= b(t, ,Y_{t},,,

u_{t})dt+ heta(t, ,Y_{t},,,

u_{t})dB_{t}, ;;Y_{0}in L^{p}(mathbb{P}), end{cases}] where $pgeq2$, for every $tin[0,T]$, $m{u}_t$, $u_t$ denote the probability distribution of $X_t$, $Y_t$ respectively and the drift coefficient $b(t,x,mu)$ is affine in $x$ (scaled). If we make the convexity and monotony assumption (only) on $sigma$ and if $sigmapreceqheta$ with respect to the partial matrix order, the convex order for the initial random variable $X_{0}prece{q}_{,cv}{Y}_0$ can be propagated to the whole path of process $X$ and $Y$. That is, if we consider a convex functional $F$ defined on the path space with polynomial growth, we have $mathbbEF(X)leqmathbbEF(Y)$; for a convex functional $G$ defined on the product space involving the path space and its marginal distribution space, we have $$ under appropriate conditions. The symmetric setting is also valid, that is, if $hetapreceqsigma$ and $Y_{0}leq{X}_0$ with respect to the convex order, then $mathbbE,F(Y)leqmathbbE,F(X)$ and $$. The proof is based on several forward and backward dynamic programming principles and the convergence of the Euler scheme of the McKean-Vlasov equation.

Full work available at URL: https://arxiv.org/abs/2005.03154

zbMATH Keywords

diffusion processMcKean-Vlasov equationmean field controlfunctional convex orderconvergence rate of the Euler scheme

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic processes (60G99) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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Cited In (1)

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