A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems
central limit theoremEuler schemeinteracting infinite particle systemstochastic partial differential equation
Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Functional limit theorems; invariance principles (60F17) (L^p)-limit theorems (60F25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Filtering in stochastic control theory (93E11)
A (finite) measure-valued process \(V\) in \({\mathbb R}^d\) is decribed by a stochastic partial differential equation whose weak (and thus rigorous) form is the following: \[ \begin{align*}{ \langle\phi,V(t)\rangle- \langle\phi,V(0)\rangle &=\int_0^t\langle\phi d(\cdot, V(s))+ L(V(s))\phi,V(s)\rangle ds\cr &\phantom{=\int_0^t}+\int_{U\times[0,t]}\langle\phi\beta(\cdot,V(s),u)+ \nabla\phi^T\alpha(\cdot,V(s),u),V(s)\rangle W(duds),}\end{align*} \] where \(L(v)\phi(x)= \frac12 \sum_{i,j} a_{ij}(x,v) \partial_{x_i}\partial_{x_j} \phi(x)+\sum_ib_i(x,v) \partial_{x_i}\phi(x)\) and \(a=(a_{ij})\), \(\alpha=(\alpha_i)\), \(b=(b_i)\), \(a_{ij}, \alpha_i, b_i\) (\(1\leq i,j\leq d\)), \(d,\beta\) are real functions on appropriate spaces, \(U\) is a Polish space, and \(W\) is a space-time Gaussian white noise on \(U\times[0,\infty)\) with covariance measure \(\mu(du)dt\), \(\mu\) being a \(\sigma\)-finite measure on \(U\). In an earlier paper by the same authors [in: Stochastics in finite and infinite dimensions; 233--258 (2000; Zbl 0991.60053); see also Stochast. Processes Appl. 83, No.~1, 103--126 (1999; Zbl 0996.60071)], it was shown that under suitable assumptions on the coefficients the process \(V\) can be approximated by the weighted empirical measure process \[ V^n(t)= {1\over n}\sum_{k=1}^nA_k^n(t)\delta_{X_k^n(t)}, \] of a finite particle system satisfying \[ \begin{align*}{ X_k^n(t)=&X_k(0)+\int_0^t\sigma(X_k^n(s),V^n(s))dB_k(s)+ \int_0^tc(X_k^n(s),V^n(s))ds\cr &+\int_{U\times[0,t]}\alpha(X_k^n(s),V^n(s),u)W(duds),}\end{align*} \] \[ \begin{align*}{ A_k^n(t)=&A_k(0)+\int_0^tA_k^n(s)\gamma^T(X_k^n(s),V^n(s))dB_k(s)+ \int_0^tA_k^n(s)d(X_k^n(s),V^n(s))ds\cr &+ \int_{U\times[0,t]}A_k^n(s)\beta(X_k^n(s),V^n(s),u)W(duds),}\end{align*} \] for \(k=1,2,\dots,n\), where \(B_k\) are independent standard \({\mathbb R}^d\)-valued Brownian motions, independent of \(W\), \((X_k(0),A_k(0))\) are exchangeable random variables in \({\mathbb R}^d\times{\mathbb R}\) independent of \(\{B_k\}\) and \(W\), and \(\sigma, c\) and \(\gamma\) are determined by \(a,b,\alpha,\beta\). In the present paper a fluctuation result is obtained. It is proved that \(S_n=\sqrt{n}(V^n-V)\) converges in law in the space \(C_{\Phi'}[0,\infty)\), where \(\Phi\) is a Fréchet nuclear (Schwartz modified) space. The limit \(S\) is a distribution-valued process which is the unique solution of a stochastic evolution equation \[ \langle\phi,S(t)\rangle=\langle\phi,S(0)\rangle +\langle\phi,M(t)\rangle +\int_0^t\langle F_1(V(s))\phi,S(s)\rangle ds +\int_{U\times[0,t]}\langle F_2(V(s),u)\phi,S(s)\rangle W(duds), \] where \(M\) is a distribution-valued martingale and \(F_1,F_2\) are linear in \(\phi\). This interesting but rather involved theorem is related to old results of \textit{M. Hitsuda} and \textit{I. Mitoma} [J. Multivariate Anal. 19, 311--328 (1986; Zbl 0604.60059)], where a much simpler setting was investigated and the fluctuation limit was a Gaussian process.
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