相关论文: Entropy-Cost Inequalities for McKean-Vlasov SDEs w…
We study large deviation properties of systems of weakly interacting particles modeled by It\^{o} stochastic differential equations (SDEs). It is known under certain conditions that the corresponding sequence of empirical measures…
Distributed distribution comparison aims to measure the distance between the distributions whose data are scattered across different agents in a distributed system and cannot even be shared directly among the agents. In this study, we…
We present a stochastic version of the Cucker-Smale flocking dynamics based on a markovian $N$-particle system of pair interactions with unbounded and, in general, non-Lipschitz continuous interaction potential. We establish the infinite…
In this paper, we study the entrance measures of time-inhomogeneous McKean-Vlasov SDEs. The existence is obtained in great generality, where the system can be expanding globally and/or degenerate for numerous number of time intervals. When…
We study a sequential system of interacting diffusions in which particle $i$ interacts only with its predecessors through the empirical measure $\mu_t^{i-1}$, yielding a directed, non-exchangeable mean-field approximation of a…
This paper derives non-asymptotic error bounds for nonlinear stochastic approximation algorithms in the Wasserstein-$p$ distance. To obtain explicit finite-sample guarantees for the last iterate, we develop a coupling argument that compares…
In this paper, we aim to study the diffusion approximation for multi-scale McKean-Vlasov stochastic differential equations. More precisely, we prove the weak convergence of slow process $X^\varepsilon$ in $C([0,T];\mathbb{R}^n)$ towards the…
Many management decisions involve accumulated random realizations for which only the first and second moments of their distribution are available. The sharp Chebyshev-type bound for the tail probability and Scarf bound for the expected loss…
In this work we investigate the dynamical properties of a mixture of mutually interacting spherical molecules of different masses and sizes. From an analysis of the microscopic laws governing the motion of the molecules we derive a set of…
We characterize the Schr\"odinger bridge problems by a family of Mckean-Vlasov stochastic control problems with no terminal time distribution constraint. In doing so, we use the theory of Hilbert space embeddings of probability measures and…
The time-evolution of a moderately dense gas in a vacuum is described in classical mechanics by a particle density function obtained from the Enskog equation. Based on a McKean-Vlasov stochastic equation with jumps, the associated…
We analyse a Monte Carlo particle method for the simulation of the calibrated Heston-type local stochastic volatility (H-LSV) model. The common application of a kernel estimator for a conditional expectation in the calibration condition…
We consider particle systems with mean-field interactions whose distribution is invariant by translations. Under the assumption that the system seen from its centre of mass be reversible with respect to a Gibbs measure, we establish large…
When solving elliptic partial differential equations in a region containing immersed interfaces (possibly evolving in time), it is often desirable to approximate the problem using an independent background discretisation, not aligned with…
This paper studies McKean-Vlasov stochastic differential equations (MVSDEs) whose drift coefficients grow super-linearly in both state variables and measure arguments, and whose diffusion coefficients exhibit super-linear growth in the…
We investigate the conditional McKean-Vlasov stochastic differential equations with jumps and Markovian regime-switching. We establish the strong wellposedness using L2-Wasser-stein distance on the Wasserstein space. Also, we establish the…
We establish a quantitative bound on the entropy jump associated to the sum of independent, identically distributed (IID) radially symmetric random vectors having dimension greater than one. Following the usual approach, we first consider…
Dynamics of many-particle systems with long-range interaction is collisionless and governed by the Vlasov equation. This dynamics is a flow of a six-dimensional incompressible liquid with uncountable integrals of motion. If the flow…
We present a Lyapunov type approach to the problem of existence and uniqueness of general law-dependent stochastic differential equations. In the existing literature most results concerning existence and uniqueness are obtained under…
We propose a second order differential calculus to analyze the regularity and the stability properties of the distribution semigroup associated with McKean-Vlasov diffusions. This methodology provides second order Taylor type expansions…