A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries
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arXiv
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| Hauptverfasser: | , , , , , |
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| Format: | Preprint |
| Veröffentlicht: |
2021
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| _version_ | 1866929258054549504 |
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| author | Coghi, Michele Dreyer, Wolfgang Gajewski, Paul Guhlke, Clemens Friz, Peter Maurelli, Mario |
| author_facet | Coghi, Michele Dreyer, Wolfgang Gajewski, Paul Guhlke, Clemens Friz, Peter Maurelli, Mario |
| contents | We consider a one-dimensional McKean-Vlasov SDE on a domain and the associated mean-field interacting particle system. The peculiarity of this system is the combination of the interaction, which keeps the average position prescribed, and the reflection at the boundaries; these two factors make the effect of reflection non local. We show pathwise well-posedness for the McKean-Vlasov SDE and convergence for the particle system in the limit of large particle number. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2102_12315 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries Coghi, Michele Dreyer, Wolfgang Gajewski, Paul Guhlke, Clemens Friz, Peter Maurelli, Mario Probability 60H10, 60H99, 60F99 We consider a one-dimensional McKean-Vlasov SDE on a domain and the associated mean-field interacting particle system. The peculiarity of this system is the combination of the interaction, which keeps the average position prescribed, and the reflection at the boundaries; these two factors make the effect of reflection non local. We show pathwise well-posedness for the McKean-Vlasov SDE and convergence for the particle system in the limit of large particle number. |
| title | A McKean-Vlasov SDE and particle system with interaction from reflecting boundaries |
| topic | Probability 60H10, 60H99, 60F99 |
| url | https://arxiv.org/abs/2102.12315 |