Related papers: Particle approximation for a conditional McKean--V…
The convergence of U-statistics has been intensively studied for estimators based on families of i.i.d. random variables and variants of them. In most cases, the independence assumption is crucial [Lee90, de99]. When dealing with…
We present a proof showing that the weak error of a system of $n$ interacting stochastic particles approximating the solution of the McKean-Vlasov equation is $\mathcal O(n^{-1})$. Our proof is based on the Kolmogorov backward equation for…
We present the particle method for simulating the solution to the path-dependent McKean-Vlasov equation, in which both the drift and the diffusion coefficients depend on the whole trajectory of the process up to the current time t, as well…
Motivated by a general principle governing regulation mechanisms in biological cells, we investigate a general interaction scheme between different populations of particles and specific particles, referred to as agents. Assuming that each…
We study a stochastic particle system with a logarithmically-singular inter-particle interaction potential which allows for inelastic particle collisions. We relate the squared Bessel process to the evolution of localized clusters of…
We consider a general interacting particle system with interactions on a random graph, and study the large population limit of this system. When the sequence of underlying graphs converges to a graphon, we show convergence of the…
In this article, we investigate an interacting particle system featuring random intensities, individual noise, and environmental noise, commonly referred to as stochastic point vortex model. The model serves as an approximation for the…
We prove a rate of convergence for the $N$-particle approximation of a second-order partial differential equation in the space of probability measures, like the Master equation or Bellman equation of mean-field control problem under common…
We derive the spatially homogeneous Landau equation for Maxwellian molecules from a natural stochastic interacting particle system. More precisely, we control the relative entropy between the joint law of the particle system and the…
In this paper, we first derive Milstein schemes for an interacting particle system associated with point delay McKean-Vlasov stochastic differential equations (McKean-Vlasov SDEs), possibly with a drift term exhibiting super-linear growth…
In this paper, we first establish well-posedness results for one-dimensional McKean-Vlasov stochastic differential equations (SDEs) and related particle systems with a measure-dependent drift coefficient that is discontinuous in the spatial…
There is an extensive literature on the dynamic law of large numbers for systems of quantum particles, that is, on the derivation of an equation describing the limiting individual behavior of particles inside a large ensemble of identical…
We investigate micro-to-macroscopic derivations in two models of living cells, in presence to cell-cell adhesive interactions. We rigorously address two PDE-based models, one featuring non-local terms and another purely local, as a a result…
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…
In this paper, we consider the composition of two independent processes : one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler…
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…
Fokker-Planck equations are extensively employed in various scientific fields as they characterise the behaviour of stochastic systems at the level of probability density functions. Although broadly used, they allow for analytical treatment…
Interacting particle systems provide a fundamental framework for modeling collective behavior in biological, social, and physical systems. In many applications, stochastic perturbations are essential for capturing environmental variability…
We show, for a class of discrete Fleming-Viot (or Moran) type particle systems, that the convergence to the equilibrium is exponential for a suitable Wassertein coupling distance. The approach provides an explicit quantitative estimate on…
For continuous-time linear stochastic dynamical systems driven by Wiener processes, we consider the problem of designing ensemble filters when the observation process is randomly time-sampled. We propose a continuous-discrete McKean--Vlasov…