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arXiv · 1812.11773

Pathwise McKean-Vlasov Theory with Additive Noise

Michele Coghi·Jean-Dominique Deuschel·Peter Friz·Mario Maurelli
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Abstract

Abstract. We take a pathwise approach to classical McKean-Vlasov stochastic differential equations with additive noise, as e.g. exposed in Sznitmann [38]. Our study was prompted by some concrete problems in battery modelling [23], and also by recent progrss on rough-pathwise McKean-Vlasov theory, notably Cass-Lyons [10], and then Bailleul, Catellier and Delarue [4]. Such a "pathwise McKean-Vlasov theory" can be traced back to Tanaka [40]. This paper can be seen as an attempt to advertize the ideas, power and simplicity of the pathwise appproach, not so easily extracted from [4, 10, 40], together with a number of novel applications. These include mean field convergence without a priori independence and exchangeability assumption; common noise, c\`adl\`ag noise, and reflecting boundaries. Last not least, we generalize Dawson-G\"artner large deviations and the central limit theorem to a non-Brownian noise setting.

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Michele Coghi, Jean-Dominique Deuschel, Peter Friz, Mario Maurelli. 2018-12-31. Pathwise McKean-Vlasov Theory with Additive Noise. https://doi.org/10.1214/20-aap1560

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