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We prove a rate of convergence for the $N$-particle approximation of a second-order partial differential equation in the space of probability measures, like the Master equation or Bellman equation of mean-field control problem under common noise.
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H. Pham and X. Wei · 2017
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J. Zhang · 2017
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R. Carmona and F. Delarue · 2018
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R. Carmona and F. Delarue · 2018
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“Bellman equation and viscosity solutions for mean-field stochastic control problem”
H. Pham and X. Wei · 2018
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“The Master equation and the convergence problem in mean-field games”
“Backward propagation of chaos”
M. Lauri“‘ere and L. Tangpi · 2019
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“Stochastic Control with Delayed Information and Related Nonlinear Master Equation”
Y.. Saporito and J. Zhang · 2019
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“Viscosity solutions for controlled McKean-Vlasov jump-diffusions”
M. Burzoni, V. Ignazio, M. Reppen and H.M. Soner · 2020
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“Extended mean-field control problem: a propagation of chaos result”
F Djete · 2020
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“Convergence of large population games to mean field games with interaction through the controls”
M. Lauri“‘ere and L. Tangpi · 2020
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P. Cardaliaguet, F. Delarue, J-M. Lasry and P-L. Lions · 2019
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“Zero-sum stochastic differential games of generalized McKean-Vlasov type”
A. Cosso and H. Pham · 2019
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“McKean-Vlasov optimal control: the dynamic programming principle”
F. Djete, D. Possamai and X. Tan · 2019
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“Viscosity solutions to parabolic master equations and McKean–Vlasov SDEs with closed-loop controls”
C. Wu and J. Zhang · 2020
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“DeepSets and derivative networks for solving symmetric PDEs”
M. Germain, M. Lauri“‘ere, H. Pham and X. Warin · 2021
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“Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations in Spaces of Probability Measures”
W. Gangbo, S. Mayorga and A. Swiech · 2021
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