RESEARCH ARTICLE

Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching

  • Jinghai SHAO ,
  • Dong WEI
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  • Center for Applied Mathematics, Tianjin University, Tianjin 300072, China

Received date: 14 May 2021

Accepted date: 21 Jul 2021

Copyright

2022 Higher Education Press

Abstract

We investigate a particle system with mean field interaction living in a random environment characterized by a regime-switching process. The switching process is allowed to be dependent on the particle system. The well-posedness and various properties of the limit conditional McKean-Vlasov SDEs are studied, and the conditional propagation of chaos is established with explicit estimate of the convergence rate.

Cite this article

Jinghai SHAO , Dong WEI . Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching[J]. Frontiers of Mathematics in China, 2022 , 17(4) : 731 -746 . DOI: 10.1007/s11464-021-0960-3

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