Propagation of chaos for mean field rough differential equations
Propagation of chaos for mean field rough differential equations
We address propagation of chaos for large systems of rough differential equations associated with random rough differential equations of mean field type dXt=V(Xt,L(Xt))dt+F(Xt,L(Xt))dWt, where W is a random rough path and L(Xt) is the law of Xt. We prove propagation of chaos, and provide also an explicit optimal convergence rate. …