2024-11-24 Sunday Sign in CN

Activities
Approximating the invariant measures of McKean-Vlasov processes
Home - Activities
Reporter:
Kai Du, Associate Professor, Fudan University
Inviter:
Jialin Hong, Professor
Subject:
Approximating the invariant measures of McKean-Vlasov processes
Time and place:
10:00-11:00 September 19 (Tuesday) , N202
Abstract:

This work reveals that the invariant probability measure of a McKean-Vlasov process can be approximated by the empirical measures of some processes including itself. These processes are described by distribution dependent or empirical measure dependent stochastic differential equations constructed from the equation for the McKean-Vlasov process. Convergence of empirical measures is characterized by upper bound estimates for their Wasserstein distance to the invariant measure.