PARTICLES SYSTEMS AND NUMERICAL SCHEMES FOR MEAN REFLECTED STOCHASTIC DIFFERENTIAL EQUATIONS

• 成果类型: Article
• 署名作者: Briand, Philippe; De Raynal, Paul-Eric Chaudru; Guillin, Arnaud; Labart, Celine
• 署名单位: Centre National de la Recherche Scientifique (CNRS); Universite Savoie Mont Blanc; Universite Clermont Auvergne (UCA); Centre National de la Recherche Scientifique (CNRS); Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/19-AAP1546
• 发表日期: 2020
• 页码: 1884-1909
• 关键词: optimal transportation

摘要

This paper is devoted to the study of reflected Stochastic Differential Equations when the constraint is not on the paths of the solution but acts on its law. These reflected equations have been introduced recently in a backward form by Briand, Elie and Hu (Ann. Appl. Probab. 28 (2018) 482-510) in the context of risk measures. We here focus on the forward version of such reflected equations. Our main objective is to provide an approximation of the solutions with the help of interacting particles systems. This approximation allows to design a numerical scheme for this kind of equations.