Strong conditional propagation of chaos for systems of interacting particles with stable jumps

arXiv2306.12275MaRDI QIDQ6441007FDOQ6441007

Dasha Loukianova, E. Löcherbach

Publication date: 21 June 2023

Abstract: We consider a system of $N$ particles, described by SDEs driven by Poisson random measure, where the coefficients depend on the empirical measure of the system. Every particle jumps with a jump rate depending on its position. When jumping, a macroscopic quantity is added to its own position. Moreover, simultaneously, all other particles of the system receive a small random kick which is distributed according to an $alpha-$ stable law and scaled in $N^{-1/alpha},$ where $0<alpha<1.$ This particular scaling implies that the limit of the empirical measures of the system is random and equals the conditional distribution of one typical particle in the limit system, given the source of common noise. Thus the system exhibits the {it conditional propagation of chaos property}. The limit system turns out to be solution of a non-linear SDE, driven by an $alpha-$stable subordinator. We prove strong unique existence of the limit system and introduce a suitable coupling to obtain the strong convergence of the finite to the limit system, together with precise error bounds for finite time marginales.

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07)

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