We prove a rate of convergence for the N-particle approximation of a second-order partial differential equation in the space of probability measures, such as the master equation or Bellman equation of the 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 equation techniques.

The Parisi formula is a self-contained description of the infinite-volume limit of the free energy of mean-field spin glass models. We showthat this quantity can be recast as the solution of a Hamilton–Jacobi equation in the Wasserstein space of probability measures on the positive half-line.