We study a class of one-dimensional particle systems with true (Bird type) binary interactions, which includes Kac's model of the Boltzmann equation and nonlinear equations for the evolution of wealth distribution arising in kinetic economic models. We obtain explicit rates of convergence for the Wasserstein distance between the law of the particles and their limiting law, which are linear in time and depend in a mild polynomial manner on the number of particles. The proof is based on a novel coupling between the particle system and a suitable system of nonindependent nonlinear processes, as well as on recent sharp estimates for empirical measures.
We investigate the construction of chaotic probability measures on the Boltzmann's sphere, which is the state space of the stochastic process of a many-particle system undergoing a dynamics preserving energy and momentum. Firstly, based on a version of the local Central Limit Theorem (or Berry-Esseen theorem), we construct a sequence of probabilities that is Kac chaotic and we prove a quantitative rate of convergence. Then, we investigate a stronger notion of chaos, namely entropic chaos introduced in \cite{CCLLV}, and we prove, with quantitative rate, that this same sequence is also entropica…
In this paper we present a new local Lévy Central Limit Theorem, showing convergence to stable states that are not necessarily the Gaussian, and use it to find new and intuitive entropically chaotic families with underlying one-particle function that has moments of order $2α$, with $1<α<2$. We also discuss a lower semi continuity result for the relative entropy with respect to our specific family of functions, and use it to show a form of stability property for entropic chaos in our settings.
In this article we study a relatively novel way of constructing chaotic sequences of probability measures supported on Kac's sphere, which are obtained as the law of a vector of $N$ i.i.d. variables after it is rescaled to have unit average energy. We show that, as $N$ increases, this sequence is chaotic in the sense of Kac, with respect to the Wasserstein distance, in $L^1$, in the entropic sense, and in the Fisher information sense. For many of these results, we provide explicit rates of polynomial order in $N$. In the process, we improve a quantitative entropic chaos result of Haurey and Mi…
We consider Kac's 1D N-particle system coupled to an ideal thermostat at temperature T, introduced by Bonetto, Loss, and Vaidyanathan in 2014. We obtain a propagation of chaos result for this system, with explicit and uniform-in-time rates of order N^(-1/3) in the 2-Wasserstein metric. We also show well-posedness and equilibration for the limit kinetic equation in the space of probability measures. The proofs use a coupling argument previously introduced by Cortez and Fontbona in 2016.
A stochastic approach to the (generic) mean-field limit in Bose-Einstein Condensation is described and the convergence of the ground state energy as well as of its components are established. For the one-particle process on the path space a total variation convergence result is proved. A strong form of Kac's chaos on path-space for the $k$-particles probability measures are derived from the previous energy convergence by purely probabilistic techniques notably using a simple chain-rule of the relative entropy. The Fisher's information chaos of the fixed-time marginal probability density under …
We investigate the behavior in $N$ of the $N$--particle entropy functional for Kac's stochastic model of Boltzmann dynamics, and its relation to the entropy function for solutions of Kac's one dimensional nonlinear model Boltzmann equation. We prove a number of results that bring together the notion of propagation of chaos, which Kac introduced in the context of this model, with the problem of estimating the rate of equilibration in the model in entropic terms, and obtain a bound showing that the entropic rate of convergence can be arbitrarily slow. Results proved here show that one can in fac…
In this paper we study Kac's 1D particle system, consisting of the velocities of $N$ particles colliding at constant rate and randomly exchanging energies. We prove uniform (in time) propagation of chaos in Wasserstein distance with explicit polynomial rates in $N$, for both the squared (i.e., the energy) and non-squared particle system. These rates are of order $N^{-1/3}$ (almost, in the non-squared case), assuming that the initial distribution of the limit nonlinear equation has finite moments of sufficiently high order ($4+ε$ is enough when using the 2-Wasserstein distance). The proof relie…
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These weak expansions rely on an original combinatorial, and permutation group analysis of a special class of forests. They provide refined non asymptotic propagation of chaos type properties, as well as sharp $\LL\_p$-mean error bounds, and laws of large numbers for $U$-statistics. Applications to particle interpretations of the top eigenvalues, and the ground states of Schrödinger semigroups are also d…
In this paper, we consider the Kac stochastic particle system associated to the spatially homogeneous Boltzmann equation for true hard potentials. We establish a rate of propagation of chaos of the particle system to the unique solution of the Boltzmann equation. We use a probabilistic coupling method and give, under suitable assumptions on the initial condition, a rate of convergence of the empirical measure of the particle system to the solution of the Boltzmann equation for this singular interaction.
We consider the (unique) mild solution $u(t,x)$ of a 1-dimensional stochastic heat equation on $[0,T]\times\mathbb R$ driven by time-homogeneous white noise in the Wick-Skorokhod sense. The main result of this paper is the computation of the spatial derivative of $u(t,x)$, denoted by $\partial_x u(t,x)$, and its representation as a Feynman-Kac type closed form. The chaos expansion of $\partial_x u(t,x)$ makes it possible to find its (optimal) Hölder regularity especially in space.
We establish a version of the Feynman-Kac formula for the multidimensional stochastic heat equation with a multiplicative fractional Brownian sheet. We use the techniques of Malliavin calculus to prove that the process defined by the Feynman-Kac formula is a weak solution of the stochastic heat equation. From the Feynman-Kac formula, we establish the smoothness of the density of the solution and the Hölder regularity in the space and time variables. We also derive a Feynman-Kac formula for the stochastic heat equation in the Skorokhod sense and we obtain the Wiener chaos expansion of the solut…
This paper is devoted to the study of propagation of chaos and mean-field limits for systems of indistinguable particles, undergoing collision processes. The prime examples we will consider are the many-particle jump processes of Kac and McKean \cite{Kac1956,McKean1967} giving rise to the Boltzmann equation. We solve the conjecture raised by Kac \cite{Kac1956}, motivating his program, on the rigorous connection between the long-time behavior of a collisional many-particle system and the one of its mean-field limit, for bounded as well as unbounded collision rates. Motivated by the inspirative …
Continuous time Feynman-Kac measures on path spaces are central in applied probability, partial differential equation theory, as well as in quantum physics. This article presents a new duality formula between normalized Feynman-Kac distribution and their mean field particle interpretations. Among others, this formula allows us to design a reversible particle Gibbs-Glauber sampler for continuous time Feynman-Kac integration on path spaces. This result extends the particle Gibbs samplers introduced by Andrieu-Doucet-Holenstein [2] in the context of discrete generation models to continuous time F…
In this Note we present the main results from the recent work arxiv:1107.3251, which answers several conjectures raised fifty years ago by Kac. There Kac introduced a many-particle stochastic process (now denoted as Kac's master equation) which, for chaotic data, converges to the spatially homogeneous Boltzmann equation. We answer the three following questions raised in \cite{kac}: (1) prove the propagation of chaos for realistic microscopic interactions (i.e. in our results: hard spheres and true Maxwell molecules); (2) relate the time scales of relaxation of the stochastic process and of the…
We design exact polynomial expansions of a class of Feynman--Kac particle distributions. These expansions are finite and are parametrized by coalescent trees and other related combinatorial quantities. The accuracy of the expansions at any order is related naturally to the number of coalescences of the trees. Our results include an extension of the Wick product formula to interacting particle systems. They also provide refined nonasymptotic propagation of chaos-type properties, as well as sharp $\mathbb{L}_p$-mean error bounds, and laws of large numbers for $U$-statistics.
We derive two estimates for the deviation of the $N$-particle, hard-spheres Kac process from the corresponding Boltzmann equation, measured in expected Wasserstein distance. Particular care is paid to the long-time properties of our estimates, exploiting the stability properties of the limiting Boltzmann equation at the level of realisations of the interacting particle system. As a consequence, we obtain an estimate for the propagation of chaos, uniformly in time and with polynomial rates, as soon as the initial data has a $k^\mathrm{th}$ moment, $k>2$. Our approach is similar to Kac's proposa…
This paper considers the space homogenous Boltzmann equation with Maxwell molecules and arbitrary angular distribution. Following Kac's program, emphasis is laid on the the associated conservative Kac's stochastic $N$-particle system, a Markov process with binary collisions conserving energy and total momentum. An explicit Markov coupling (a probabilistic, Markovian coupling of two copies of the process) is constructed, using simultaneous collisions, and parallel coupling of each binary random collision on the sphere of collisional directions. The euclidean distance between the two coupled sys…
In this work, we generalize M. Kac's original many-particle binary stochastic model to derive a space homogeneous Boltzmann equation that includes a linear combination of higher-order collisional terms. First, we prove an abstract theorem about convergence from a finite hierarchy to an infinite hierarchy of coupled equations. We apply this convergence theorem on hierarchies for marginals corresponding to the generalized Kac model mentioned above. As a corollary, we prove propagation of chaos for the marginals associated to the generalized Kac model. In particular, the first marginal converges …
A theory of intermittency differentiation is developed for a general class of 1D Infinitely Divisible Multiplicative Chaos measures. The intermittency invariance of the underlying infinitely divisible field is established and utilized to derive a Feynman-Kac equation for the distribution of the total mass of the limit measure by considering a stochastic flow in intermittency. The resulting equation prescribes the rule of intermittency differentiation for a general functional of the total mass and determines the distribution of the total mass and its dependence structure to the first order in i…
We consider a class of stochastic processes modeling binary interactions in an N-particle system. Examples of such systems can be found in the modeling of biological swarms. They lead to the definition of a class of master equations that we call pair interaction driven master equations. We prove a propagation of chaos result for this class of master equations which generalizes Mark Kac's well know result for the Kac model in kinetic theory. We use this result to study kinetic limits for two biological swarm models. We show that propagation of chaos may be lost at large times and we exhibit an …
By Girsanov's thoerem and using the existing log-Harnack inequality for distribution independent SDEs, the log-Harnack inequality is derived for path-distribution dependent stochastic Hamiltonian systems. As an application, the exponential ergodicity in relative entropy is obtained by combining with transportation cost inequality. In addition, the quantitative propagation of chaos in the sense of Wasserstein distance, which together with the coupling by change of measure implies the quantitative propagation of chaos in total variation norm as well as relative entropy are obtained.
Quantum tunnelling phenomenon allows a particle in Schrödinger mechanics tunnels through a barrier that it classically could not overcome. Even the infinite potentials do not always form impenetrable barriers. We discuss an answer to the following question: What is a critical magnitude of potential, which creates impenetrable barrier and for which the corresponding Schrödinger evolution system separates? In addition we describe some quantitative estimates for the separating effect in terms of cut-off potentials.
Consider $N$ balls initially placed in $L$ bins. At each time step take a ball from each non-empty bin and \emph{randomly} reassign the balls into the bins.We call this finite Markov chain \emph{General Repeated Balls into Bins} process. It is a discrete time interacting particles system with parallel updates. Assuming a \emph{quantitative} chaotic condition on the reassignment rule we prove a \emph{quantitative} propagation of chaos for this model. We furthermore study some equilibrium properties of the limiting nonlinear process.
We prove propagation of chaos at explicit polynomial rates in Wasserstein distance W_2 for Kac's N-particle system associated with the spatially homogeneous Boltzmann equation for Maxwell molecules, with and without cutoff. Our approach is mainly based on novel probabilistic coupling techniques. Combining them with recent stabilization results for the particle system we obtain, under suitable moments assumptions on the initial distribution, a uniform-in-time estimate of order almost N^{-1/3} for W_2^2.
We prove a quantitative result of convergence of a conservative stochastic particle system to the solution of the homogeneous Landau equation for hard potentials. There are two main difficulties: (i) the known stability results for this class of Landau equations concern regular solutions and seem difficult to extend to study the rate of convergence of some empirical measures; (ii) the conservativeness of the particle system is an obstacle for (approximate) independence. To overcome (i), we prove a new stability result for the Landau equation for hard potentials concerning very general measure …
Consider the metric space $(\mathcal{P}_2(\mathbb{R}^d),W_2)$ of square integrable laws on $\mathbb{R}^d$ with the topology induced by the 2-Wasserstein distance $W_2$. Let $Φ: \mathcal{P}_2( \mathbb{R}^d) \to \mathbb{R}$ be a function and $μ_N$ be the empirical measure of a sample of $N$ random variables distributed as $μ$. The main result of this paper is to show that under suitable regularity conditions, we have \[ |Φ(μ) - \mathbb{E}Φ(μ_N)|= \sum_{j=1}^{k-1}\frac{C_j}{N^j} + O(\frac{1}{N^k}), \] for some positive constants $C_1, \ldots, C_{k-1}$ that do not depend on $N$, where $k$ correspo…
The trend to equilibrium in large time is studied for a large particle system associated to a Vlasov-Fokker-Planck equation in the presence of a convex external potential, without smallness restriction on the interaction. From this are derived uniform in time propagation of chaos estimates, which themselves yield in turn an exponentially fast convergence for the semi-linear equation itself. The approach is quantitative.
In this paper, we first investigate the well-posedness of a backward stochastic differential equation where the driver depends on the law of the solution conditioned to a common noise. Under standard assumptions, we show that existence and uniqueness, as well as integrability results, still hold. We also study the associated interacting particles system, for which we prove propagation of chaos, with quantitative estimates on the rate of convergence in Wasserstein distance.
We consider a one dimension Kac model with conservation of energy and an exclusion rule: Fix a number of particles $n$, and an energy $E>0$. Let each of the particles have an energy $x_j \geq 0$, with $\sum_{j=1}^n x_j = E$. For some $ε$, the allowed configurations $(x_1,\dots,x_n)$ are those that satisfy $|x_i - x_j| \geq ε$ for all $i\neq j$. At each step of the process, a pair $(i,j)$ of particles is selected uniformly at random, and then they "collide", and there is a repartition of their total energy $x_i + x_j$ between them producing new energies $x^*_i$ and $x^*_j$ with $x^*_i + x^*_j =…
We derive a quantiative propagation of chaos result for a mixed-sign point vortex system on $\mathbb{T}^2$ with independent Brownian noise, at an optimal rate. We introduce a pairing between vortices of opposite sign, and using the vorticity formulation of 2D Navier-Stokes, we define an associated tensorized vorticity equation on $\mathbb{T}^2\times\mathbb{T}^2$ with the same well-posedness theory as the original equation. Solutions of the new PDE can be projected onto solutions of Navier-Stokes, and the tensorized equation allows us to exploit existing propagation of chaos theory for identica…
We prove a quantitative propagation of chaos, uniformly in time, for the spatially homogeneous Landau equation in the case of Maxwellian molecules. We improve the results of Fontbona, Guérin and Méléard \cite{FonGueMe} and Fournier \cite{Fournier} where the propagation of chaos is proved for finite time. Moreover, we prove a quantitative estimate on the rate of convergence to equilibrium uniformly in the number of particles.
Quantitative Propagation of Chaos for 2D Viscous Vortex Model with General Circulations on the Whole Space
School of Mathematical Sciences, Peking University（北京大学数学科学学院）；Beijing International Center for Mathematical Research, Peking University（北京大学北京国际数学研究中心）
We investigate propagation of chaos for mean field Markov Decision Process with common noise (CMKV-MDP), and when the optimization is performed over randomized open-loop controls on infinite horizon. We first state a rate of convergence of order $M_N^γ$, where $M_N$ is the mean rate of convergence in Wasserstein distance of the empirical measure, and $γ\in (0,1]$ is an explicit constant, in the limit of the value functions of $N$-agent control problem with asymmetric open-loop controls, towards the value function of CMKV-MDP. Furthermore, we show how to explicitly construct $(ε+\mathcal{O}(M_N…
We study a stochastic system of $N$ interacting particles which models bimolecular chemical reaction-diffusion. In this model, each particle $i$ carries two attributes: the spatial location $X_t^i\in \mathbb{T}^d$, and the type $Ξ_t^i\in \{1,\cdots,n\}$. While $X_t^i$ is a standard (independent) diffusion process, the evolution of the type $Ξ_t^i$ is described by pairwise interactions between different particles under a series of chemical reactions described by a chemical reaction network. We prove that in the large particle limit the stochastic dynamics converges to a mean field limit which i…
Quantitative Propagation of Chaos and Fluctuations for Kinetic McKean--Vlasov SDEs with Singular Interaction Kernels
School of Mathematics and Statistics, Beijing Institute of Technology（北京理工大学数学与统计学院）；Faculty of Computational Mathematics and Cybernetics, Shenzhen MSU-BIT University（深圳莫斯科国立大学-北京理工大学联合学院计算数学与网络科学系）；Beijing International Center for Mathematical Research, Peking University（北京大学北京国际数学研究中心）
This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations around the deterministic limit and of correlations between particles, as the number of particles goes to infinity. To this end we introduce a general functional framework which reduces this question to the one of proving a purely functional estimate on some abstract generator operators (consistency estimate) together with fine stability estimates on the flow …
