5 papers
Quantitative weak propagation of chaos for McKean--Vlasov branching diffusion processes
Wenjing Cao, Zhenjie Ren, Xiaolu Tan
We study in this paper the weak propagation of chaos for McKean--Vlasov diffusions with branching, whose induced marginal measures are nonnegative finite measures but not necessary…
Comparison of viscosity solutions for a class of non-linear PDEs on the space of finite nonnegative measures
Ibrahim Ekren, Xihao He, Tianxu Lan +1
We establish a comparison principle for viscosity solutions of a class of nonlinear partial differential equations posed on the space of nonnegative finite measures, thereby extend…
Optimal Control of McKean--Vlasov Branching Diffusion Processes
Julien Claisse, Jiazhi Kang, Tianxu Lan +1
We study an optimal control problem of McKean--Vlasov branching diffusion processes, in which the interaction term is determined by the marginal measure induced by all alive partic…
On McKean-Vlasov Branching Diffusion Processes
Julien Claisse, Jiazhi Kang, Xiaolu Tan
We study a nonlinear branching diffusion process in the sense of McKean, i.e., where particles are subjected to a mean-field interaction. We consider first a strong formulation of…
A numerical algorithm for a class of BSDEs via branching process
Pierre Henry-Labordere, Xiaolu Tan, Nizar Touzi
We generalize the algorithm for semi-linear parabolic PDEs in Henry-Labordère (2012) to the non-Markovian case for a class of Backward SDEs (BSDEs). By simulating the branching pro…