Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation

DOI10.1007/S40072-013-0014-2zbMATH Open1279.65012arXiv1211.4818OpenAlexW2051897912WikidataQ115375382 ScholiaQ115375382MaRDI QIDQ378033FDOQ378033

Julien Reygner, Benjamin Jourdain

Publication date: 20 November 2013

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: We study a quasilinear parabolic Cauchy problem with a cumulative distribution function on the real line as an initial condition. We call 'probabilistic solution' a weak solution which remains a cumulative distribution function at all times. We prove the uniqueness of such a solution and we deduce the existence from a propagation of chaos result on a system of scalar diffusion processes, the interactions of which only depend on their ranking. We then investigate the long time behaviour of the solution. Using a probabilistic argument and under weak assumptions, we show that the flow of the Wasserstein distance between two solutions is contractive. Under more stringent conditions ensuring the regularity of the probabilistic solutions, we finally derive an explicit formula for the time derivative of the flow and we deduce the convergence of solutions to equilibrium.

Full work available at URL: https://arxiv.org/abs/1211.4818

zbMATH Keywords

convergenceWasserstein distancelong time behaviournonlinear evolution equationpropagation of chaosprobabilistic solutionparticle systemquasilinear parabolic Cauchy problemsystem of diffusion processes

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Quasilinear parabolic equations (35K59) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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Cited In (24)

• Large rank-based models with common noise
• On the Wellposedness of Some McKean Models with Moderated or Singular Diffusion Coefficient
• Propagation of chaos for maxima of particle systems with mean-field drift interaction
• Path dependent McKean-Vlasov SDEs with Hölder continuous diffusion
• Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws
• On a strong form of propagation of chaos for McKean-Vlasov equations
• Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
• Comparison techniques for competing Brownian particles
• Equilibrium large deviations for mean-field systems with translation invariance
• SPDE limit of the global fluctuations in rank-based models
• Approximation of optimal transport problems with marginal moments constraints
• Degenerate competing three-particle systems
• Dimension-free local convergence and perturbations for reflected Brownian motions
• Capital distribution and portfolio performance in the mean-field Atlas model
• Exponential ergodicity and propagation of chaos for path-distribution dependent stochastic Hamiltonian system
• Two-Sided Infinite Systems of Competing Brownian Particles
• Large deviations for diffusions interacting through their ranks
• Infinite systems of competing Brownian particles
• Approximation rate in Wasserstein distance of probability measures on the real line by deterministic empirical measures
• Dynamics of observables in rank-based models and performance of functionally generated portfolios
• Long-time behavior of finite and infinite dimensional reflected Brownian motions
• Long time behaviour and mean-field limit of Atlas models
• McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
• Limit Theory for Controlled McKean--Vlasov Dynamics

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