On the long-time behaviour of McKean-Vlasov paths

DOI10.1214/20-ECP330zbMATH Open1448.35040arXiv2001.09106OpenAlexW3099133045MaRDI QIDQ2201529FDOQ2201529

K. Bashiri

Publication date: 29 September 2020

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

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.

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

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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)

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Cited In (3)

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

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