Weak particle-system convergence conjecture
Weak particle-system convergence conjecture
Let be the continuous-time particle-system approximation and let be the true solution of the corresponding McKean–Vlasov equation. Let . Weak particle-system convergence conjecture. The weak error satisfies
The usual non-QMC particle approximation is stated to have weak rate , whereas numerical tests and a bound in the zero-diffusion case support the conjectured improved rate.
Sources & referencesView supporting material
Primary source
Nadhir Ben Rached, Abdul-Lateef Haji-Ali, Raúl Tempone and Leon Wilkosz, “Forward Propagation of Low Discrepancy Through McKean-Vlasov Dynamics: From QMC to MLQMC”, arXiv:2409.09821 (2024).
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