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 nonlocal. We show pathwise well-posedness for the McKean--Vlasov SDE and convergence for the particle system in the limit of large particle number.
A McKean--Vlasov SDE and Particle System with Interaction from Reflecting Boundaries
Maurelli, Mario
2022-01-01
Abstract
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 nonlocal. We show pathwise well-posedness for the McKean--Vlasov SDE and convergence for the particle system in the limit of large particle number.File in questo prodotto:
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