Monday, December 2 at 2:00pm to 3:00pm
Kaprielian Hall (KAP), 245 (Note the location)
3620 South Vermont Avenue, Los Angeles, CA 90089
Ludovic Tangpi, Princeton University
In this talk we will present an extension of the theory of propagation of chaos to backward (weakly) interacting diffusions. The focus will be on cases allowing for explicit convergence rates and concentration inequalities for the empirical measures. Among other consequences, we derive the approximation of some non-local, second order PDEs on an infinite dimensional space by a sequence of parabolic PDEs on finite dimensional spaces.
The talk is based on join works with D. Bartl and M. Lauriere.