Related papers: Particle system algorithm and chaos propagation re…
We introduce a new class of nonlinear Stochastic Differential Equations in the sense of McKean, related to non conservative nonlinear Partial Differential equations (PDEs). We discuss existence and uniqueness pathwise and in law under…
We propose a particle system of diffusion processes coupled through a chain-like network structure described by an infinite-dimensional, nonlinear stochastic differential equation of McKean-Vlasov type. It has both (i) a local chain…
A system of interacting particles described by stochastic differential equations is considered. As oppopsed to the usual model, where the noise perturbations acting on different particles are independent, here the particles are subject to…
This work addresses the propagation of chaos properties in a class of moderately interacting particle systems for the approximation of singular kinetic McKean-Vlasov SDEs driven by alpha-stable processes.
This article is a continuation of our first work \cite{chaudruraynal:frikha}. We here establish some new quantitative estimates for propagation of chaos of non-linear stochastic differential equations in the sense of McKean-Vlasov. We…
This paper focus on investigating the explicit rate of convergence for the propagation of chaos, in a pathwise sense a family of interacting stochastic particle related to some Brownian driven McKean-Vlasov dynamics. Precisely the McKean…
In this paper, we study a two-species model in the form of a coupled system of nonlinear stochastic differential equations (SDEs) that arises from a variety of applications such as aggregation of biological cells and pedestrian movements.…
We study 1-Wasserstein propagation of chaos for "McKean-type" nonlinear Markov chains and their associated interacting particle systems. This paper is organized into two parts: the first part combines arguments from various areas of…
Inspired by the stochastic particle method, this paper establishes an easily implementable explicit numerical method for McKean-Vlasov stochastic differential equations (MV-SDEs) with superlinear growth coefficients. The paper establishes…
Propagation of chaos for interacting particle systems has been an active research topic over decades. We propose an alternative approach to study the mean-field limit of the stochastic interacting particle systems via tools from information…
The notion of propagation of chaos for large systems of interacting particles originates in statistical physics and has recently become a central notion in many areas of applied mathematics. The present review describes old and new methods…
In this paper, we present a numerical approach to solve the McKean-Vlasov equations, which are distribution-dependent stochastic differential equations, under some non-globally Lipschitz conditions for both the drift and diffusion…
The notion of propagation of chaos for large systems of interacting particles originates in statistical physics and has recently become a central notion in many areas of applied mathematics. The present review describes old and new methods…
A new class of particle systems with sequential interaction is proposed to approximate the McKean-Vlasov process that originally arises as the limit of the mean-field interacting particle system. The weighted empirical measure of this…
In this paper, we study multi-species stochastic interacting particle systems and their mean-field McKean-Vlasov partial differential equations (PDEs) in non-convex landscapes. We discuss the well-posedness of the multi-species SDE system,…
This paper develops a theory of propagation of chaos for a system of weakly interacting particles whose terminal configuration is fixed as opposed to the initial configuration as customary. Such systems are modeled by backward stochastic…
In this paper, we study well-posedness of random periodic solutions of stochastic differential equations (SDEs) of McKean-Vlasov type driven by a two-sided Brownian motion, where the random periodic behaviour is characterised by the…
We introduce a new class of numerical methods for solving McKean-Vlasov stochastic differential equations, which are relevant in the context of distribution-dependent or mean-field models, under super-linear growth conditions for both the…
Given a reaction-advection-diffusion system modelling the sulphation phenomenon, we derive a single regularised non-conservative and path-dependent nonlinear partial differential equation and propose a probabilistic interpretation via a…
In the particular case of a concave flux function, we are interested in the long time behaviour of the nonlinear process associated to the one-dimensional viscous scalar conservation law. We also consider the particle system obtained by…