A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries
Probability
2024-02-29 v2
Abstract
We consider a one-dimensional McKean-Vlasov SDE on a domain and the associated mean-field interacting particle system. The peculiarity of this system is the combination of the interaction, which keeps the average position prescribed, and the reflection at the boundaries; these two factors make the effect of reflection non local. We show pathwise well-posedness for the McKean-Vlasov SDE and convergence for the particle system in the limit of large particle number.
Keywords
Cite
@article{arxiv.2102.12315,
title = {A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries},
author = {Michele Coghi and Wolfgang Dreyer and Paul Gajewski and Clemens Guhlke and Peter Friz and Mario Maurelli},
journal= {arXiv preprint arXiv:2102.12315},
year = {2024}
}