Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching

doi:10.1007/s11464-021-0960-3

Front. Math. China

2022, Vol. 17

Issue (4) : 731-746 https://doi.org/10.1007/s11464-021-0960-3

RESEARCH ARTICLE

Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching

Jinghai SHAO, Dong WEI(

)

Center for Applied Mathematics, Tianjin University, Tianjin 300072, China

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Abstract

We investigate a particle system with mean field interaction living in a random environment characterized by a regime-switching process. The switching process is allowed to be dependent on the particle system. The well-posedness and various properties of the limit conditional McKean-Vlasov SDEs are studied, and the conditional propagation of chaos is established with explicit estimate of the convergence rate.

Keywords Regime-switching propagation of chaos Wasserstein distance conditional McKean-Vlasov SDEs rate of convergence

Corresponding Author(s): Dong WEI

Issue Date: 19 December 2022

Cite this article:

Jinghai SHAO,Dong WEI. Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching[J]. Front. Math. China, 2022, 17(4): 731-746.

URL:

https://academic.hep.com.cn/fmc/EN/10.1007/s11464-021-0960-3
https://academic.hep.com.cn/fmc/EN/Y2022/V17/I4/731

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