Uniform in time weak propagation of chaos on the torus
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arXiv
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| Format: | Preprint |
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2021
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| author | Delarue, François Tse, Alvin |
| author_facet | Delarue, François Tse, Alvin |
| contents | We address the long time behaviour of weakly interacting diffusive particle systems on the d-dimensional torus. Our main result is to show that, under certain regularity conditions, the weak error between the empirical distribution of the particle system and the theoretical law of the limiting process (governed by a McKean-Vlasov stochastic differential equation) is of the order O(1/N), uniform in time on [0, infinity), where N is the number of particles in the interacting diffusion. This comprises general interaction terms with a small enough mean-field dependence together with interactions terms driven by an H-stable potential. Our approach relies on a systematic analysis of the long-time behaviour of the derivatives of the semigroup generated by the McKean-Vlasov SDE, which may be explicitly computed through the linearised Fokker-Planck equation. Ergodic estimates for the latter hence play a key role in our analysis. We believe that this strategy is flexible enough to cover a wider broad of situations. To wit, we succeed in adapting it to the super-critical Kuramoto model, for which the corresponding McKean-Vlasov equation has several invariant measures. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2104_14973 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Uniform in time weak propagation of chaos on the torus Delarue, François Tse, Alvin Analysis of PDEs Probability 35R06, 60H30, 65C35 We address the long time behaviour of weakly interacting diffusive particle systems on the d-dimensional torus. Our main result is to show that, under certain regularity conditions, the weak error between the empirical distribution of the particle system and the theoretical law of the limiting process (governed by a McKean-Vlasov stochastic differential equation) is of the order O(1/N), uniform in time on [0, infinity), where N is the number of particles in the interacting diffusion. This comprises general interaction terms with a small enough mean-field dependence together with interactions terms driven by an H-stable potential. Our approach relies on a systematic analysis of the long-time behaviour of the derivatives of the semigroup generated by the McKean-Vlasov SDE, which may be explicitly computed through the linearised Fokker-Planck equation. Ergodic estimates for the latter hence play a key role in our analysis. We believe that this strategy is flexible enough to cover a wider broad of situations. To wit, we succeed in adapting it to the super-critical Kuramoto model, for which the corresponding McKean-Vlasov equation has several invariant measures. |
| title | Uniform in time weak propagation of chaos on the torus |
| topic | Analysis of PDEs Probability 35R06, 60H30, 65C35 |
| url | https://arxiv.org/abs/2104.14973 |