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

DOI10.1007/S11118-023-10078-5MaRDI QIDQ6152017zbMATH OpenOpenAlexFDO

Authors Ta Cong Son, Dung Quang Le, Manh Hong Duong

Publication date 11 March 2024

Published in Potential Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

Malliavin calculusSmoluchowski-Kramers approximationstochastic differential by mean-fieldtotal variation distance

Mathematics Subject Classification ID

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

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.

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Cited in

(2)

• Small mass limit for stochastic \(N\)-interacting particles system in \(L^2( \mathbb{R}^d)\) in mean field limit
• Smoluchowski-Kramers approximation for stochastic differential equations under discretization

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