Propagation of chaos: a review of models, methods and applications. II. Applications

LP Chaintron, A Diez - arXiv preprint arXiv:2106.14812, 2021 - arxiv.org
The notion of propagation of chaos for large systems of interacting particles originates in
statistical physics and has recently become a central notion in many areas of applied …

[图书][B] Optimal transport: old and new

C Villani - 2009 - Springer
At the close of the 1980s, the independent contributions of Yann Brenier, Mike Cullen and
John Mather launched a revolution in the venerable field of optimal transport founded by G …

Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle

M Huang, RP Malhamé, PE Caines - 2006 - projecteuclid.org
We consider stochastic dynamic games in large population conditions where multiclass
agents are weakly coupled via their individual dynamics and costs. We approach this large …

[图书][B] Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications

R Carmona - 2016 - SIAM
This book grew out of the lecture notes I prepared for a graduate class I taught at Princeton
University in 2011–12, and again in 2012–13. My goal was to introduce the students to …

Quantitative concentration inequalities for empirical measures on non-compact spaces

F Bolley, A Guillin, C Villani - Probability Theory and Related Fields, 2007 - Springer
We establish quantitative concentration estimates for the empirical measure of many
independent variables, in transportation distances. As an application, we provide some error …

Probabilistic approach for granular media equations in the non-uniformly convex case

P Cattiaux, A Guillin, F Malrieu - Probability theory and related fields, 2008 - Springer
We use here a particle system to prove both a convergence result (with convergence rate)
and a deviation inequality for solutions of granular media equation when the confinement …

Convergence to equilibrium for granular media equations and their Euler schemes

F Malrieu - The Annals of Applied Probability, 2003 - projecteuclid.org
We introduce a new interacting particle system to investigate the behavior of the nonlinear,
nonlocal diffusive equation already studied by Benachour et al.[3, 4]. We first prove an …

Sharp uniform-in-time mean-field convergence for singular periodic Riesz flows

AC de Courcel, M Rosenzweig, S Serfaty - arXiv preprint arXiv …, 2023 - ems.press
We consider conservative and gradient flows for N-particle Riesz energies with meanfield
scaling on the torus Td, for d 1, and with thermal noise of McKean–Vlasov type. We prove …

[HTML][HTML] Logarithmic Sobolev inequalities for some nonlinear PDE's

F Malrieu - Stochastic processes and their applications, 2001 - Elsevier
The aim of this paper is to study the behavior of solutions of some nonlinear partial
differential equations of Mac Kean–Vlasov type. The main tools used are, on one hand, the …

Uniform in time weak propagation of chaos on the torus

F Delarue, A Tse - arXiv preprint arXiv:2104.14973, 2021 - arxiv.org
We address the long time behaviour of weakly interacting diffusive particle systems on the d-
dimensional torus. Our main result is to show that, under certain regularity conditions, the …