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学术活动
Approximating the invariant measures of McKean-Vlasov processes
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报告人:
Kai Du, Associate Professor, Fudan University
邀请人:
Jialin Hong, Professor
题目:
Approximating the invariant measures of McKean-Vlasov processes
时间地点:
10:00-11:00 September 19 (Tuesday) , N202
摘要:

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.