We prove a rate of convergence of order 1/N 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  for the L^2-error on its L-derivative \partial_\mu v} . The proof relies on backward stochastic differential equations techniques.
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.
D
of order 1/N
A
. The rate is of order 1/N for the pathwise error on the solution v and of order 1/\sqrt{N