Strong convergence of propagation of chaos for mckean-vlasov sdes with singular interactions

Zimo Hao, Michael Rockner, Xicheng Zhang

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish
Pages (from-to)2661-2713
Number of pages53
JournalSIAM Journal on Mathematical Analysis
Volume56
Issue number2
DOIs
Publication statusPublished - 2024

Keywords

  • Entropy method
  • Girsanov's transformation
  • Heat kernel estimates
  • McKean-Vlasov SDEs
  • Propagation of chaos
  • Zvonkin's transformation

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