Weak particle-system convergence conjecture

Let XP\bm X^P be the continuous-time particle-system approximation and let Z(t)Z(t) be the true solution of the corresponding McKean–Vlasov equation. Let GP(x)=1Pj=1Pg(xj)G^P(x)=\frac{1}{P}\sum_{j=1}^P g(x_j). Weak particle-system convergence conjecture. The weak error satisfies

E[GP(XP(T))g(Z(T))]P2.\left|\mathbb{E}\left[G^P\left(\bm X^P(T)\right)-g\left(Z(T)\right)\right]\right|\lesssim P^{-2}.

The usual non-QMC particle approximation is stated to have weak rate O(P1)\mathcal{O}(P^{-1}), 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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