Rate of convergence in the Smoluchowski-Kramers approximation for mean-field stochastic differential equations

DOI10.1007/S11118-023-10078-5arXiv2209.11967OpenAlexW4382982771MaRDI QIDQ6152017FDOQ6152017

Dung Quang Le, Manh Hong Duong, Ta Cong Son

Publication date: 11 March 2024

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: In this paper we study a second-order mean-field stochastic differential systems describing the movement of a particle under the influence of a time-dependent force, a friction, a mean-field interaction and a space and time-dependent stochastic noise. Using techniques from Malliavin calculus, we establish explicit rates of convergence in the zero-mass limit (Smoluchowski-Kramers approximation) in the $L^p$-distances and in the total variation distance for the position process, the velocity process and a re-scaled velocity process to their corresponding limiting processes.

Full work available at URL: https://arxiv.org/abs/2209.11967

zbMATH Keywords

Malliavin calculustotal variation distanceSmoluchowski-Kramers approximationstochastic differential by mean-field

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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