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

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.

Key words： Regime-switching; propagation of chaos; Wasserstein distance; conditional McKean-Vlasov SDEs; rate of convergence

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