McKean-Vlasov diffusions: from the asynchronization to the synchronization
Given a random variable \(X_0\), consider the real valued diffusion process \[ X_t= X_0+ \sqrt{\varepsilon} B_t- \int^t_0 W^1_s(X_s)\,ds,\tag{1} \] for a potential \(W_s\) of the form \(V+ F* L(X_s)\), where J\(*\) denotes the convolution product and \(L(X_s)\) the law of \(X_s\). The functions \(V\) and \(F\) considered in this note are \({x^4\over 4}- {x^2\over 2}\) and \({\alpha\over 2} x^2\), for some \(\alpha> 0\), respectively. It is known that for \(\alpha\neq 1\) the order of the speed of convergence of the unique symmetric stationary measure for (1) when \(\varepsilon\) goes to \(0\) is \(\varepsilon\). This is in contrast with the case \(\alpha=1\), for which it is of order \(\varepsilon^{1/2}\). The author shows in this note that this difference of bihaviour is removed by the introduction of the parameter \(\varepsilon\) in the potential after a suitable change of scales.
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