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arXiv · 2112.14112

Empirical approximation to invariant measures for McKean--Vlasov processes: mean-field interaction vs self-interaction

Kai Du·Yifan Jiang·Jinfeng Li
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Abstract

This paper proves 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.

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Kai Du, Yifan Jiang, Jinfeng Li. 2021-12-28. Empirical approximation to invariant measures for McKean--Vlasov processes: mean-field interaction vs self-interaction. https://arxiv.org/abs/2112.14112

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