Long time results for a weakly interacting particle system in discrete time

DOI10.1080/07362994.2014.1003434zbMATH Open1316.60142arXiv1401.3423OpenAlexW2054385500MaRDI QIDQ5256268FDOQ5256268

Authors: Abhishek Pal Majumder, Amarjit Budhiraja 

Publication date: 22 June 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Abstract: We study long time behavior of a discrete time weakly interacting particle system, and the corresponding nonlinear Markov process in $mathbb{R}^d$, described in terms of a general stochastic evolution equation. In a setting where the state space of the particles is compact such questions have been studied in previous works, however for the case of an unbounded state space very few results are available. Under suitable assumptions on the problem data we study several time asymptotic properties of the $N$-particle system and the associated nonlinear Markov chain. In particular we show that the evolution equation for the law of the nonlinear Markov chain has a unique fixed point and starting from an arbitrary initial condition convergence to the fixed point occurs at an exponential rate. The empirical measure $m{u}_n^N$ of the $N$-particles at time $n$ is shown to converge to the law $m{u}_n$ of the nonlinear Markov process at time $n$, in the Wasserstein-1 distance, in $L^1$, as $Noinfty$, uniformly in $n$. Several consequences of this uniform convergence are studied, including the interchangeability of the limits $noinfty$ and $Noinfty$ and the propagation of chaos property at $n=infty$. Rate of convergence of $m{u}_n^N$ to $m{u}_n$ is studied by establishing uniform in time polynomial and exponential probability concentration estimates.

Full work available at URL: https://arxiv.org/abs/1401.3423

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zbMATH Keywords

Wasserstein distancelong time behaviormetric entropypropagation of chaosstochastic difference equationsnonlinear Markov chainstransportation inequalitiesMcKean-Vlasov equationsweakly interacting particle systemexponential concentration estimatesuniform concentration estimates

Mathematics Subject Classification ID

Large deviations (60F10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Discrete-time Markov processes on general state spaces (60J05)

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Cited In (11)

• Title not available (Why is that?)
• Nonlinear Markov processes in big networks
• Markov-Nash equilibria in mean-field games with discounted cost
• On the long term behavior of some finite particle systems
• Partially observed discrete-time risk-sensitive mean field games
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• Discrete time Markovian agents interacting through a potential
• Propagation of chaos and Poincaré inequalities for a system of particles interacting through their CDF
• Approximate Markov-Nash equilibria for discrete-time risk-sensitive mean-field games
• Approximate Nash equilibria in partially observed stochastic games with mean-field interactions

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