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On laws of large numbers for systems with mean-field interactions and Markovian switching

Author

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  • Nguyen, Son L.
  • Yin, George
  • Hoang, Tuan A.

Abstract

Focusing on stochastic systems arising in mean-field models, the systems under consideration belong to the class of switching diffusions, in which continuous dynamics and discrete events coexist and interact. The discrete events are modeled by a continuous-time Markov chain. Different from the usual switching diffusions, the systems include mean-field interactions. Our effort is devoted to obtaining laws of large numbers for the underlying systems. One of the distinct features of the paper is the limit of the empirical measures is not deterministic but a random measure depending on the history of the Markovian switching process. A main difficulty is that the standard martingale approach cannot be used to characterize the limit because of the coupling due to the random switching process. In this paper, in contrast to the classical approach, the limit is characterized as the conditional distribution (given the history of the switching process) of the solution to a stochastic McKean–Vlasov differential equation with Markovian switching.

Suggested Citation

  • Nguyen, Son L. & Yin, George & Hoang, Tuan A., 2020. "On laws of large numbers for systems with mean-field interactions and Markovian switching," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 262-296.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:1:p:262-296
    DOI: 10.1016/j.spa.2019.02.014
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    References listed on IDEAS

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    1. Kurtz, Thomas G. & Xiong, Jie, 1999. "Particle representations for a class of nonlinear SPDEs," Stochastic Processes and their Applications, Elsevier, vol. 83(1), pages 103-126, September.
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    Cited by:

    1. Shen, Guangjun & Wang, Jiangpeng, 2025. "Conditional McKean–Vlasov stochastic differential equations driven by fractional Brownian motions," Chaos, Solitons & Fractals, Elsevier, vol. 196(C).

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