Convergence rate for moderate interaction particles and application to mean field games

We study two interacting particle systems, both modeled as a system of N stochastic differential equations driven by Brownian motions with singular kernels and moderate interaction. We show a quantitative result where the convergence rate depends on the moderate scaling parameter, the regularity of the solution of the limit equation and the dimension. Our approach is based on the techniques of stochastic calculus, some properties of Besov and Triebel-Lizorkin space, and the semigroup approach introduced in [12] . New techniques are presented to address the difficulty arising from the nonlinear term.

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Publication Details

Journal
Journal of Mathematical Analysis and Applications
Published
2025-04-23
DOI
https://doi.org/10.1016/j.jmaa.2025.129615
Citations
2
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
4.42
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article

Convergence rate for moderate interaction particles and application to mean field games

Josué Knorst, Alexandre B. de Souza, Christian Olivera
2 citations
Journal of Mathematical Analysis and Applications
Stochastic processes and financial applications
4.42
article

Convergence rate for moderate interaction particles and application to mean field games

Josué Knorst, Alexandre B. de Souza, Christian Olivera
article en
2 citations

Abstract

We study two interacting particle systems, both modeled as a system of N stochastic differential equations driven by Brownian motions with singular kernels and moderate interaction. We show a quantitative result where the convergence rate depends on the moderate scaling parameter, the regularity of the solution of the limit equation and the dimension. Our approach is based on the techniques of stochastic calculus, some properties of Besov and Triebel-Lizorkin space, and the semigroup approach introduced in [12] . New techniques are presented to address the difficulty arising from the nonlinear term.

Journal of Mathematical Analysis and ApplicationsVol. 549(2)
Universidade Federal do Rio Grande do Sul (BR), Universidade Estadual de Campinas (UNICAMP) (BR)
Reduced inequalities
Openalex Percentile: Top 7%
Stochastic processes and financial applications
4.42
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