TY - JOUR
T1 - Strong convergence of propagation of chaos for mckean-vlasov sdes with singular interactions
AU - Hao, Zimo
AU - Rockner, Michael
AU - Zhang, Xicheng
N1 - Publisher Copyright:
© 2024 Society for Industrial and Applied Mathematics Publications. All rights reserved.
PY - 2024
Y1 - 2024
N2 - In this work we show the strong convergence of propagation of chaos for the particle approximation of McKean-Vlasov SDEs with singular Lp-interactions as well as for the moderate interaction particle systems on the level of particle trajectories. One of the main obstacles is to establish the strong well-posedness of the SDEs for particle systems with singular interaction. To this end, we extend the results on strong well-posedness of Krylov and Rockner [Probab. Theory Related Fields, 131 (2005), pp. 154-196] to the case of mixed L\bfitp-drifts, where the heat kernel estimates play a crucial role. Moreover, when the interaction kernel is bounded measurable, we also obtain the optimal rate of strong convergence, which is partially based on Jabin and Wang's entropy method [P.-E. Jabin and Z. Wang, J. Funct. Anal., 271 (2016), pp. 3588-3627] and Zvonkin's transformation.
AB - In this work we show the strong convergence of propagation of chaos for the particle approximation of McKean-Vlasov SDEs with singular Lp-interactions as well as for the moderate interaction particle systems on the level of particle trajectories. One of the main obstacles is to establish the strong well-posedness of the SDEs for particle systems with singular interaction. To this end, we extend the results on strong well-posedness of Krylov and Rockner [Probab. Theory Related Fields, 131 (2005), pp. 154-196] to the case of mixed L\bfitp-drifts, where the heat kernel estimates play a crucial role. Moreover, when the interaction kernel is bounded measurable, we also obtain the optimal rate of strong convergence, which is partially based on Jabin and Wang's entropy method [P.-E. Jabin and Z. Wang, J. Funct. Anal., 271 (2016), pp. 3588-3627] and Zvonkin's transformation.
KW - Entropy method
KW - Girsanov's transformation
KW - Heat kernel estimates
KW - McKean-Vlasov SDEs
KW - Propagation of chaos
KW - Zvonkin's transformation
UR - http://www.scopus.com/inward/record.url?scp=85189204308&partnerID=8YFLogxK
U2 - 10.1137/23M1556666
DO - 10.1137/23M1556666
M3 - Article
AN - SCOPUS:85189204308
SN - 0036-1410
VL - 56
SP - 2661
EP - 2713
JO - SIAM Journal on Mathematical Analysis
JF - SIAM Journal on Mathematical Analysis
IS - 2
ER -