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

被引：6

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

页码：731 / 746

页数：16

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