Abstract
We address propagation of chaos for large systems of rough differential equations associated with random rough differential equations of mean field type
where W is a random rough path and is the law of . We prove propagation of chaos, and provide also an explicit optimal convergence rate. The analysis is based upon the tools we developed in our companion paper (Electron. J. Probab. 25 (2020) 21) for solving mean field rough differential equations and in particular upon a corresponding version of the Itô-Lyons continuity theorem. The rate of convergence is obtained by a coupling argument developed first by Sznitman for particle systems with Brownian inputs.
Acknowledgments
I. Bailleul thanks the Centre Henri Lebesgue ANR-11-LABX-0020-01 for its stimulating mathematical research programs, and the U.B.O. for their hospitality, part of this work was written there. Partial support from the ANR-16-CE40-0020-01. F. Delarue thanks the Institut Universitaire de France.
Citation
Ismaël Bailleul. Rémi Catellier. François Delarue. "Propagation of chaos for mean field rough differential equations." Ann. Probab. 49 (2) 944 - 996, March 2021. https://doi.org/10.1214/20-AOP1465
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