Analytical approximations of non-linear SDEs of McKean-Vlasov type

Abstract : We provide analytical approximations for the law of the solutions to a certain class of scalar McKean-Vlasov stochastic differential equations (MKV-SDEs) with random initial datum. " Propagation of chaos " results ([Szn91]) connect this class of SDEs with the macroscopic limiting behavior of a particle, evolving within a mean-field interaction particle system, as the total number of particles tends to infinity. Here we assume the mean-field interaction only acting on the drift of each particle, this giving rise to a MKV-SDE where the drift coefficient depends on the law of the unknown solution. By perturbing the non-linear forward Kolmogorov equation associated to the MKV-SDE, we perform a two-steps approximating procedure that decouples the McKean-Vlasov interaction from the standard dependence on the state-variables. The first step yields an expansion for the marginal distribution at a given time, whereas the second yields an expansion for the transition density. Both the approximating series turn out to be asymptotically convergent in the limit of short times and small noise, the convergence order for the latter expansion being higher than for the former. The resulting approximation formulas are expressed in semi-closed form and can be then regarded as a viable alternative to the numerical simulation of the large-particle system, which can be computationally very expensive. Moreover, these results pave the way for further extensions of this approach to more general dynamics and to high-dimensional settings.
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Pré-publication, Document de travail
2016
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  • HAL Id : hal-01395840, version 1

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Emmanuel Gobet, Stefano Pagliarani. Analytical approximations of non-linear SDEs of McKean-Vlasov type. 2016. 〈hal-01395840〉

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