McKean-Vlasov limit for interacting systems with simultaneous jumps

2017/04/04 by Andreis, Luisa, Pra, Paolo Dai, Fischer, Markus · 2 citations
#60J75 #60K35 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1704.01052

Abstract

Motivated by several applications, including neuronal models, we consider the McKean-Vlasov limit for mean-field systems of interacting diffusions with simultaneous jumps. We prove propagation of chaos via a coupling technique that involves an intermediate process and that gives a rate of convergence for the W₁ Wasserstein distance between the empirical measures of the two systems on the space of trajectories D([0,T],ℝ^d).

Cited by

• Mean-field approximations in insurance
• Strong solutions to singular SDEs and application to the Lennard-Jones potential

Related

• Mean field analysis of interacting network model with jumps
• Sequential propagation of chaos
• On a strong form of propagation of chaos for McKean-Vlasov equations
• White-noise driven conditional McKean-Vlasov limits for systems of particles with simultaneous and random jumps
• Quantitative Contraction Rates for McKean-Vlasov Stochastic Differential Equations with Multiplicative Noise