Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching

被引：5
|
作者：
Shao, Jinghai [1 ]
Wei, Dong [1 ]
机构：
[1] Tianjin Univ, Ctr Appl Math, Tianjin 300072, Peoples R China
来源：
FRONTIERS OF MATHEMATICS IN CHINA | 2022年 / 17卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Regime-switching; propagation of chaos; Wasserstein distance; conditional McKean-Vlasov SDEs; rate of convergence; MEAN-FIELD GAMES; DIFFUSIONS; LIMIT; CONVERGENCE; TRANSIENCE; RECURRENCE;
D O I：
10.1007/s11464-021-0960-3
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We investigate a particle system with mean field interaction living in a random environment characterized by a regime-switching process. The switching process is allowed to be dependent on the particle system. The well-posedness and various properties of the limit conditional McKean-Vlasov SDEs are studied, and the conditional propagation of chaos is established with explicit estimate of the convergence rate.
引用
收藏
页码：731 / 746
页数：16
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