Particle method and quantization-based schemes for the simulation of the McKean-Vlasov equation

DOI10.1051/M2AN/2024007MaRDI QIDQ6422136zbMATH OpenWikidataFDO

Authors Yating Liu

Publication date 30 December 2022

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Abstract: In this paper, we study three numerical schemes for the McKean-Vlasov equation [�egin{cases} ;dX_t=b(t, X_t, mu_t) , dt+sigma(t, X_t, mu_t) , dB_t,: \ ;forall, tin[0,T],;mu_t ext{ is the probability distribution of }X_t, end{cases}] where $X_0$ is a known random variable. Under the assumption on the Lipschitz continuity of the coefficients $b$ and $sigma$, our first result proves the convergence rate of the particle method with respect to the Wasserstein distance, which extends a previous work [BT97] established in one-dimensional setting. In the second part, we present and analyse two quantization-based schemes, including the recursive quantization scheme (deterministic scheme) in the Vlasov setting, and the hybrid particle-quantization scheme (random scheme, inspired by the $K$-means clustering). Two examples are simulated at the end of this paper: Burger's equation and the network of FitzHugh-Nagumo neurons in dimension 3.

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(2)

• Approximation schemes for McKean-Vlasov and Boltzmann type equations (error analyses in total variation distance)
• A blob method for inhomogeneous diffusion with applications to multi-agent control and sampling

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