Rate of convergence for particles approximation of PDEs in Wasserstein space *
Résumé
We prove a rate of convergence of order 1/N for the N-particle approximation of a second-order partial differential equation in the space of probability measures, like the Master equation or Bellman equation of mean-field control problem under common noise. The proof relies on backward stochastic differential equations techniques.
| Origine | Fichiers produits par l'(les) auteur(s) |
|---|