Empirical approximation to invariant measures for McKean-Vlasov processes

主讲人：杜恺 复旦大学研究员

时间：2022年11月10日14：00

地点：腾讯会议 203 959 918

举办单位：数理学院

内容介绍：This work obtains that, under a monotonicity condition, the invariant probability measure of a McKean-Vlasov process can be approximated by weighted empirical measures of some processes including itself. These processes are described by distribution dependent or empirical measure dependent stochastic differential equations constructed from the equation for the McKean-Vlasov process. Convergence of empirical measures is characterized by upper bound estimates for their Wasserstein distance to the invariant measure. The theoretical results are demonstrated via a mean-field Ornstein-Uhlenbeck process.