Rate of convergence for particle approximation of PDEs in Wasserstein space

Abstract

We prove a rate of convergence for the $N$-particle approximation of a second-order partial differential equation in the space of probability measures, like the Master equation or Bellman equation of mean-field control problem under common noise. The rate is of order $1/N$ for the pathwise error on the solution $v$ and of order $1/\sqrt{N}$ for the $L^2$-error on its $L$-derivative $\partial_\mu v$. The proof relies on backward stochastic differential equations techniques.