On the long-time behaviour of McKean-Vlasov paths

DOI10.1214/20-ECP330zbMATH1448.35040OpenAlexW3099133045MaRDI QIDQ2201529FDOQ2201529

Authors K. Bashiri

Publication date 29 September 2020

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.09106

zbMATH Keywords

ergodicitybasin of attractionWasserstein gradient flowsMcKean-Vlasov evolution

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Asymptotic behavior of solutions to PDEs (35B40) Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs (35B30) Nonlinear parabolic equations (35K55) PDEs with randomness, stochastic partial differential equations (35R60) Variational inequalities (49J40)

Abstract: It is well-known that, in a certain parameter regime, the so-called McKean-Vlasov evolution $(m{u}_t{)}_{tin[0,infty)}$ admits exactly three stationary states. In this paper we study the long-time behaviour of the flow $(m{u}_t{)}_{tin[0,infty)}$ in this regime. The main result is that, for any initial measure $m{u}_0$, the flow $(m{u}_t{)}_{tin[0,infty)}$ converges to a stationary state as $tightarrowinfty$. Moreover, we show that if the energy of the initial measure is below some critical threshold, then the limiting stationary state can be identified. Finally, we also show some topological properties of the basins of attraction of the McKean-Vlasov evolution. The proofs are based on the representation of $(m{u}_t{)}_{tin[0,infty)}$ as a Wasserstein gradient flow. Some results of this paper are not entirely new. The main contribution here is to show that the Wasserstein framework provides short and elegant proofs for these results. However, up to the author's best knowledge, the statement on the topological properties of the basins of attraction is a new result.

Recommendations

• Long-time behaviors of mean-field interacting particle systems related to McKean-Vlasov equations
• Barriers of the McKean-Vlasov energy via a mountain pass theorem in the space of probability measures
• Long-time behaviour and phase transitions for the McKean-Vlasov equation on the torus
• Long time behavior of stochastic McKean-Vlasov equations
• Exponential convergence in entropy and Wasserstein for McKean-Vlasov SDEs

Cites work

• scientific article; zbMATH DE number 3992529 (Why is no real title available?)
• A two-scale approach to logarithmic Sobolev inequalities and the hydrodynamic limit
• Convergence to the equilibria for self-stabilizing processes in double-well landscape
• Gradient flow approach to local mean-field spin systems
• Gradient flows in metric spaces and in the space of probability measures
• Kinetic equilibration rates for granular media and related equations: entropy dissipation and mass transportation estimates
• Large Deviations and Metastability
• Large deviations from the mckean-vlasov limit for weakly interacting diffusions
• Metastability. A potential-theoretic approach
• On the McKean-Vlasov Limit for Interacting Diffusions
• Optimal Transport
• Passing to the limit in a Wasserstein gradient flow: from diffusion to reaction
• THE GEOMETRY OF DISSIPATIVE EVOLUTION EQUATIONS: THE POROUS MEDIUM EQUATION
• The Variational Formulation of the Fokker--Planck Equation

Cited in

(3)

• Pathwise McKean-Vlasov theory with additive noise
• Online parameter estimation for the McKean-Vlasov stochastic differential equation
• Metastability in a continuous mean-field model at low temperature and strong interaction

This page was built for publication: On the long-time behaviour of McKean-Vlasov paths

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2201529)