Pathwise McKean-Vlasov Theory with Additive Noise
Abstract
Abstract. We take a pathwise approach to classical McKean-Vlasov stochastic differential equations with additive noise, as e.g. exposed in Sznitmann [38]. Our study was prompted by some concrete problems in battery modelling [23], and also by recent progrss on rough-pathwise McKean-Vlasov theory, notably Cass-Lyons [10], and then Bailleul, Catellier and Delarue [4]. Such a "pathwise McKean-Vlasov theory" can be traced back to Tanaka [40]. This paper can be seen as an attempt to advertize the ideas, power and simplicity of the pathwise appproach, not so easily extracted from [4, 10, 40], together with a number of novel applications. These include mean field convergence without a priori independence and exchangeability assumption; common noise, c\`adl\`ag noise, and reflecting boundaries. Last not least, we generalize Dawson-G\"artner large deviations and the central limit theorem to a non-Brownian noise setting.
Keywords
Cite
@article{arxiv.1812.11773,
title = {Pathwise McKean-Vlasov Theory with Additive Noise},
author = {Michele Coghi and Jean-Dominique Deuschel and Peter Friz and Mario Maurelli},
journal= {arXiv preprint arXiv:1812.11773},
year = {2020}
}