Propagation of chaos for maxima of particle systems with mean-field drift interaction

DOI10.1007/S00440-023-01213-9MaRDI QIDQ6090875zbMATH OpenOpenAlexFDO

Authors Nikolaos Kolliopoulos, Martin Larsson, Ze Yu Zhang

Publication date 20 November 2023

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2206.10018

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We study the asymptotic behavior of the normalized maxima of real-valued diffusive particles with mean-field drift interaction. Our main result establishes propagation of chaos: in the large population limit, the normalized maxima behave as those arising in an i.i.d. system where each particle follows the associated McKean--Vlasov limiting dynamics. Because the maximum depends on all particles, our result does not follow from classical propagation of chaos, where convergence to an i.i.d. limit holds for any fixed number of particles but not all particles simultaneously. The proof uses a change of measure argument that depends on a delicate combinatorial analysis of the iterated stochastic integrals appearing in the chaos expansion of the Radon--Nikodym density.

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Cited in

(3)

• Large-population asymptotics for the maximum of diffusive particles with mean-field interaction in the noises
• The propagation of chaos of multitype mean field interacting particle systems
• Propagation of chaos for point processes induced by particle systems with mean-field drift interaction

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