Long-time behaviors of mean-field interacting particle systems related to McKean-Vlasov equations
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Publication:2231679
Abstract: In this paper, we investigate gradient estimate of the Poisson equation and the exponential convergence in the Wasserstein metric , uniform in the number of particles, and uniform-in-time propagation of chaos for the mean-field weakly interacting particle system related to McKean-Vlasov equation. By means of the known approximate componentwise reflection coupling and with the help of some new cost function, we obtain explicit estimates for those three problems, avoiding the technical conditions in the known results. Our results apply when the confinement potential has many wells, the interaction potential has bounded second mixed derivative which should be not too big so that there is no phase transition. As an application, we obtain the concentration inequality of the mean-field interacting particle system with explicit and sharp constants, uniform in time. Several examples are provided to illustrate the results.
The McKean-Vlasov equation for interacting particles with mean field interaction is revisited. Under suitable technical conditions including a condition that excludes phase transitions, the main results are: 1. integrability over positive time axis of Wasserstein distance between marginals for two different intitial conditions; 2. exponential convergence to zero of the same; 3. concentration inequality for time averaged U-statistics; 4. concentration inequality, uniform in time, for empirical mean over particles; 5. uniform in time bounds for propagation of chaos, i.e., asymptotic convergence to a product law in infinite particle limit. Concrete examples are also given.
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