Rate of convergence for particles approximation of PDEs in Wasserstein space *.

Authors
Publication date
2021
Publication type
Other
Summary 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.
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