A propagation of chaos result for Burgers' equation (Q1079290): Difference between revisions

Let the coordinates \((X^ 1_ t,...,X^ N_ t)\) of N interacting particles at time t satisfy the equations \[ dX^ i_ t=dB^ i_ t+(c/N)\sum_{j\neq i}dL^ 0(X^ i-X^ j)_ t,\quad t>0, \] \[ X^ i_ 0=X^ i(0),\quad i=1,2,...,N, \] where \(L^ 0(X^ i-X^ j)\) is the symmetric local time in 0 of \(X^ i-X^ j\), \((B^ i)\) are independent Brownian motions, independent of the initial conditions \((X^ i(0))\), \(c\in {\mathbb{R}}.\) The asymptotic behavior when N tends towards infinity, of the laws \(P_ N\) of the processes \((X^ i)\) is investigated. The limit law is the law of the process X which describes the asymptotic individual behavior of the particles. This process satisfies the equation \[ X_ t=X_ 0+B_ t+cE_ Y(L^ 0(X-Y)),\quad t>0, \] where Y is an independent copy of X. It is proved that the law of \(X_ t\) has a density u(t,x)dx and that \[ X_ t=X_ 0+B_ t+\int^{t}_{0}2cu(s,X_ s)ds,\quad t>0 \] and also that u weakly satisfies Burgers' equation \[ \partial u/\partial t=\partial^ 2u/\partial x^ 2-2c(\partial (u^ 2)/\partial x). \]