Propagation of chaos and Poincaré inequalities for a system of particles interacting through their CDF

DOI10.1214/07-AAP513MaRDI QIDQ957515zbMATH OpenFDO

Authors Benjamin Jourdain, Florent Malrieu

Publication date 27 November 2008

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0701879

zbMATH Keywords

long time behaviorpropagation of chaosparticle systemnonlinear processviscous scalar conservation lawPoincaré inequality

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Inequalities; stochastic orderings (60E15) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Initial value problems for second-order parabolic equations (35K15) Stochastic particle methods (65C35)

Abstract: In the particular case of a concave flux function, we are interested in the long time behaviour of the nonlinear process associated to the one-dimensional viscous scalar conservation law. We also consider the particle system obtained by remplacing the cumulative distribution function in the drift coefficient of this nonlinear process by the empirical cdf. We first obtain trajectorial propagation of chaos result. Then, Poincar'e inequalities are used to get explicit estimates concerning the long time behaviour of both the nonlinear process and the particle system.

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Cited in

(29)

• Propagation of chaos for maxima of particle systems with mean-field drift interaction
• A combinatorial analysis of interacting diffusions
• Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws
• Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
• Comparison techniques for competing Brownian particles
• Equilibrium large deviations for mean-field systems with translation invariance
• Inégalités de Sobolev logarithmiques pour deux EDP non linéaires
• Concentration for multidimensional diffusions and their boundary local times
• Interacting multi-class transmissions in large stochastic networks
• The propagation of chaos of multitype mean field interacting particle systems
• Dimension-free local convergence and perturbations for reflected Brownian motions
• Propagation of chaos and moderate interaction for a piecewise deterministic system of geometrically enriched particles
• Domains of attraction of invariant distributions of the infinite atlas model
• Capital distribution and portfolio performance in the mean-field Atlas model
• Multivariable feedback particle filter
• Infinite systems of competing Brownian particles
• A gradient flow approach of propagation of chaos
• Extremal invariant distributions of infinite Brownian particle systems with rank dependent drifts
• A note on transportation cost inequalities for diffusions with reflections
• Long time results for a weakly interacting particle system in discrete time
• Long-time behavior of finite and infinite dimensional reflected Brownian motions
• Convergence rates for rank-based models with applications to portfolio theory
• Long time behaviour and mean-field limit of Atlas models
• A phase transition behavior for Brownian motions interacting through their ranks
• One-dimensional Brownian particle systems with rank-dependent drifts
• Large population asymptotics for interacting diffusions in a quenched random environment
• Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation
• Concentration of measure for Brownian particle systems interacting through their ranks
• Two-sided infinite systems of competing Brownian particles

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