On a strong form of propagation of chaos for McKean-Vlasov equations
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Publication:1663757
DOI10.1214/18-ECP150zbMATH Open1396.65013arXiv1805.04476OpenAlexW2962842099MaRDI QIDQ1663757FDOQ1663757
Publication date: 23 August 2018
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Abstract: This note shows how to considerably strengthen the usual mode of convergence of an -particle system to its McKean-Vlasov limit, often known as propagation of chaos, when the volatility coefficient is nondegenerate and involves no interaction term. Notably, the empirical measure converges in a much stronger topology than weak convergence, and any fixed particles converge in total variation to their limit law as . This requires minimal continuity for the drift in both the space and measure variables. The proofs are purely probabilistic and rather short, relying on Girsanov's and Sanov's theorems. Along the way, some modest new existence and uniqueness results for McKean-Vlasov equations are derived.
Full work available at URL: https://arxiv.org/abs/1805.04476
Interacting random processes; statistical mechanics type models; percolation theory (60K35) Quasilinear parabolic equations (35K59) Stochastic particle methods (65C35)
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