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arxiv: 1704.01052 · v1 · pith:IDGUFJZLnew · submitted 2017-04-04 · 🧮 math.PR

McKean-Vlasov limit for interacting systems with simultaneous jumps

classification 🧮 math.PR
keywords systemsinteractingjumpslimitmckean-vlasovsimultaneousapplicationschaos
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Motivated by several applications, including neuronal models, we consider the McKean-Vlasov limit for mean-field systems of interacting diffusions with simultaneous jumps. We prove propagation of chaos via a coupling technique that involves an intermediate process and that gives a rate of convergence for the $W_1$ Wasserstein distance between the empirical measures of the two systems on the space of trajectories $\mathbf{D}([0,T],\mathbb{R}^d)$.

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