Well-posedness and approximation of reflected McKean-Vlasov SDEs with
applications
Well-posedness and approximation of reflected McKean-Vlasov SDEs with
applications
In this paper, we establish well-posedness of reflected McKean-Vlasov SDEs and their particle approximations in smooth non-convex domains. We prove convergence of the interacting particle system to the corresponding mean-field limit with the optimal rate of convergence. We motivate this study with applications to sampling and optimization in constrained domains …