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| Sequential Propagation of Chaos for Mean-FieldBSDE Systems |
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Citation： |
Xiaochen LI,Kai DU.Sequential Propagation of Chaos for Mean-FieldBSDE Systems[J].Chinese Annals of Mathematics B,2024,45(1):11~40 |
| Page view： 310
Net amount： 395 |
Authors： |
Xiaochen LI; Kai DU |
Foundation： |
This work was supported by the National Natural Science Foundation of China (No. 12222103) and the
National Key R&D Program of China (No. 2018YFA0703900). |
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| Abstract： |
A new class of backward particle systems with sequential interaction is proposed
to approximate the mean-field backward stochastic differential equations. It is proven
that the weighted empirical measure of this particle system converges to the law of the
McKean-Vlasov system as the number of particles grows. Based on the Wasserstein metric, quantitative propagation of chaos results are obtained for both linear and quadratic
growth conditions. Finally, numerical experiments are conducted to validate our theoretical
results. |
Keywords： |
Backward propagation of chaos, Particle system, Sequential interaction,
McKean–Vlasov BSDE, Convergence rate |
Classification： |
65C35, 82C22, 60J60, 60B10 |
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