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Propagation of chaos: a review of models, methods and applications. II. Applications
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The notion of propagation of chaos for large systems of interacting particles originates in statistical physics and has recently become a central notion in many areas of applied mathematics. The present review describes old and new methods as well as several important results in the field. The models considered include the McKean-Vlasov diffusion, the mean-field jump models and the Boltzmann models. The first part of this review is an introduction to modelling aspects of stochastic particle systems and to the notion of propagation of chaos. The second part presents concrete applications and a more detailed study of some of the important models in the field.
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Cited by 3 Pith papers
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Propagation of chaos and approximation error of random batch particle system in the mean field regime
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Optimal Control of McKean--Vlasov Branching Diffusion Processes
For closed-loop controlled McKean-Vlasov branching diffusions, the value function is characterized by an HJB master equation on finite measures, with an explicit linear-quadratic example.
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