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arXiv · 2408.06013

Convergence Rate of Particle System for Second-order PDEs On Wasserstein Space

Erhan Bayraktar·Ibrahim Ekren·Xin Zhang
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Abstract

In this paper, we provide a convergence rate for particle approximations of a class of second-order PDEs on Wasserstein space. We show that, up to some error term, the infinite-dimensional inf(sup)-convolution of the finite-dimensional value function yields a super (sub)-viscosity solution to the PDEs on Wasserstein space. Hence, we obtain a convergence rate using a comparison principle of such PDEs on Wasserstein space. Our argument is purely analytic and relies on the regularity of value functions established in \cite{DaJaSe23}.

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Erhan Bayraktar, Ibrahim Ekren, Xin Zhang. 2024-08-12. Convergence Rate of Particle System for Second-order PDEs On Wasserstein Space. https://arxiv.org/abs/2408.06013

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