相关论文: Stability of backward propagation of chaos

We consider backward stochastic differential equations (BSDEs) with mean-field and McKean-Vlasov interactions in their generators in a general setting, where the drivers are square-integrable martingales, with a focus on the independent…

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…

As an enhanced version of existing results on Kac's propagation of chaos, which describes the convergence of mean-field particle systems to a system of independent McKean-Vlasov particles as the number of particles tends to infinity, we…

We consider a general McKean-Vlasov stochastic differential equation driven by a rotationally invariant $\alpha$-stable process on $\mathbb{R}^d$ with $\alpha \in (1,2)$. We assume that the diffusion coefficient is the identity matrix and…

This paper focuses on the numerical stability of stochastic McKean-Vlasov equations (SMVEs) via the stochastic particle method. Firstly, the long-time propagation of chaos in the mean-square sense is obtained, and the almost sure…

We establish the sharp rate of propagation of chaos for McKean-Vlasov equations with coefficients that are non-linear in the measure argument, i.e., not necessarily given by pairwise interactions. Results are given both on bounded time…

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…

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.

In this article, we establish a propagation of chaos result for weakly interacting nonlinear Snell envelopes which converge to a class of mean-field reflected backward stochastic differential equations (BSDEs) with jumps and…

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…

The first goal of this note is to prove the strong well-posedness of McKean-Vlasov SDEs driven by L{\'e}vy processes on $\mathbb{R}^d$ having a finite moment of order $\beta \in [1,2]$ and under standard Lipschitz assumptions on the…

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 first investigate the well-posedness of a backward stochastic differential equation where the driver depends on the law of the solution conditioned to a common noise. Under standard assumptions, we show that existence and…

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…

This note shows how to considerably strengthen the usual mode of convergence of an $n$-particle system to its McKean-Vlasov limit, often known as propagation of chaos, when the volatility coefficient is nondegenerate and involves no…

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…

In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergent sequence of standard data, each associated to their own…

As the limit equations of mean-field particle systems perturbed by common environmental noise, the McKean-Vlasov stochastic differential equations with common noise have received a lot of attention. Moreover, past dependence is an…

In this paper, we establish propagation of chaos (POC) for doubly mean reflected backward stochastic differential equations (MRBSDEs). MRBSDEs differentiate the typical RBSDEs in that the constraint is not on the paths of the solution but…

In this paper, we study graphon mean field games using a system of forward-backward stochastic differential equations. We establish the existence and uniqueness of solutions under two different assumptions and prove the stability with…