Quantitative convergence of finite population approximations for mean field control problems
Abstract
We study the approximation of mean field control problems by systems of interacting controlled particles, focusing on quantitative convergence rates for the associated value functions. We first establish non-asymptotic convergence bounds in discrete time, allowing for common noise and interactions through both states and controls. We then extend these results to path-dependent models, where the convergence rates reflect the increasing dimension of the discretized path space. Our approach relies on dynamic programming arguments combined with Wasserstein estimates for empirical measures of independent, not necessarily identically distributed random variables. In continuous time, we combine these estimates with uniform time-discretization bounds to obtain an explicit logarithmic convergence rate for path-dependent McKean–Vlasov control problems. Numerical experiments illustrate our theoretical results and highlight the influence of path dependence on convergence rates.
Marshall Wace is a leading global alternatives investment manager. On 12th of October, their event will give you an overview of Marshall Wace and what a career in Quant Research and Implementation could look like for you. This event is ideal for those completing a Master's, PhD, or Post-doc in a STEM discipline.
L4 from 5:45 p.m., with a drinks reception from 7:15pm to 8:30pm. Registration
Image: Henry Butler - Harmony (Print)
At the same time as Kurt Gödel was publishing his completeness theorem (1929) and working on incompleteness (see Short 1 above), Louis Armstrong was working tirelessly in Chicago, refining his trumpet playing and his scat style singing and producing some of the most influential records in early jazz. This is a Fats Waller-Andy Razaf song from the Broadway revue, 'Connie’s Hot Chocolates.'
'Like Jack Horner/In the corner/Don't go nowhere'.
15:30
Group rings, cellular complexity, and hyperbolic geometry
Abstract
To welcome in the new academic year there is a 10% discount on all our merchandise. Take your pick from fleeces, hoodies, sweaters, t-shirts, pens, mugs and more more more.
Women in Tech Week (12-16 October 2026) celebrates the women shaping technology across the University. Whether you work directly in technology, use digital tools as part of your role, or are simply curious about where technology could take you, there’s an opportunity to connect, learn and be inspired.