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The Support of McKean Vlasov equations: Brownian motion case

William Salkeld
(University of Edinburgh)
Stochastics Seminar
Thursday, 19 September, 2019, at 13:15, in Koll. G3 (1532-218)
Abstract:

We present recent results on two problems. The first is the construction of a Quantization for Gaussian Rough paths. We focus entirely on Brownian motion but other signals can be considered. We demonstrate key properties and prove a collection of equivalent rates of convergence. Secondly, these Codebooks are used to approximate the Law of McKean Vlasov Equations driven by the Gaussian Rough Path via systems of interacting ODEs. This allows us to represent the Support of the Law of a McKean Vlasov Equation in path space without needing to know the law of the solution explicitly.

Contact person: Andreas Basse-O'Connor