We establish a Sanov type large deviation principle for an ensemble of interacting Brownian rough paths. As application a large deviations for the ($k$-layer, enhanced) empirical measure of weakly interacting diffusions is obtained. This in turn implies a propagation of chaos result in rough path spaces and allows for a robust subsequent analysis of the particle system and its McKean-Vlasov type limit, as shown in two corollaries.
This note shows how to considerably strengthen the usual mode of convergence of an $n$-particle system to its McKean-Vlasov limit, often known as propagation of chaos, when the volatility coefficient is nondegenerate and involves no interaction term. Notably, the empirical measure converges in a much stronger topology than weak convergence, and any fixed $k$ particles converge in total variation to their limit law as $n\rightarrow\infty$. This requires minimal continuity for the drift in both the space and measure variables. The proofs are purely probabilistic and rather short, relying on Girs…
We establish a necessary and sufficient condition for the propagation of chaos by a family of many-particle Markov processes, if the particles live in a Polish space: a sequence of n-particle Markov transition functions propagates chaos if and only if it propagates chaos for pure initial states.
We establish the Strong Poisson Hypothesis for symmetric closed networks. In particular, the asymptotic independence of the nodes -- as the size of the system tends to infinity -- is proved.
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.
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.
In this paper, we develop a numerical approach based on Chaos expansions to analyze the sensitivity and the propagation of epistemic uncertainty through a queueing systems with breakdowns. Here, the quantity of interest is the stationary distribution of the model, which is a function of uncertain parameters. Polynomial chaos provide an efficient alternative to more traditional Monte Carlo simulations for modelling the propagation of uncertainty arising from those parameters. Furthermore, Polynomial chaos expansion affords a natural framework for computing Sobol' indices. Such indices give reli…
This paper focus on investigating the explicit rate of convergence for the propagation of chaos, in a pathwise sense a family of interacting stochastic particle related to some Brownian driven McKean-Vlasov dynamics. Precisely the McKean form of nonlinearity is concentrated on a path dependent drift component and satisfies a particular sub-gaussian moment control. Such control enables to derive a uniform estimate of the cost in terms of exponential martingale between the particle and its McKean/mean-field limit system which in turn provide an optimal rate of propagation of chaos in terms of th…
Epstein introduced an agent-based model called Demographic Prisoner's dilemma. He shows, via simulations, that cooperation in this spatial evolutionary repeated game can be sustained. In order to do proves, we put on this model a particle system framework in order to prove the convergence of the spatial model to a random matching model, using homogenization techniques. Then we prove the convergence of the random matching model to a mean field model, using propagation of chaos techniques.
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.
In this note, we clarify the well-posedness of the limit equations to the mean-field $N$-neuron models proposed in Baladron et al. and we prove the associated propagation of chaos property. We also complete the modeling issue in Baladron et al. by discussing the well-posedness of the stochastic differential equations which govern the behavior of the ion channels and the amount of available neurotransmitters.
We prove the existence of a contraction rate for Vlasov-Fokker-Planck equation in Wasserstein distance, provided the interaction potential is (locally) Lipschitz continuous and the confining potential is both Lipschitz continuous and greater than a quadratic function, thus requiring no convexity conditions. Our strategy relies on coupling methods suggested by A. Eberle adapted to the kinetic setting enabling also to obtain uniform in time propagation of chaos in a non convex setting.
In this paper we obtain uniform propagation estimates for systems of interacting diffusions. We adopt a general model, satisfying various conditions which ensure that the decay resulting from the internal dynamics term dominates the interaction and noise terms. The result should have diverse applications, particularly in neuroscience, and allows for models more elaborate than that of Wilson and Cowan, not requiring the internal dynamics to be of linear decay.
We prove existence and uniqueness of a reaction-diffusion equation whose diffusivity is a non-linear functional of the boundary temperature. We do this by studying systems of one-dimensional reflecting diffusions whose noise is a function of the reflection local-time of the system, and by characterizing the large-scale (hydrodynamic) behavior by showing propagation of chaos. In addition, we analyze the one-particle case by computing the distribution of the hitting times of its reflection local-time. This work is the noise analog of work done by Frank Knight (2001).
The propagation of chaos is a central concept of kinetic theory that serves to relate the equations of Boltzmann and Vlasov to the dynamics of many-particle systems. Propagation of chaos means that molecular chaos, i.e., the stochastic independence of two random particles in a many-particle system, persists in time, as the number of particles tends to infinity. We establish a necessary and sufficient condition for a family of general n-particle Markov processes to propagate chaos. This condition is expressed in terms of the Markov transition functions associated to the n-particle processes, an…
In 2001, Knight constructed a stochastic process modeling the one dimensional interaction of two particles, one being Newtonian in the sense that it obeys Newton's laws of motion, and the other particle being Brownian. We construct a multi-particle analog, using Skorohod map estimates in proving a propagation of chaos and characterizing the hydrodynamic limit as the solution to a PDE with free boundary condition. Stochastic methods are used to show existence and uniqueness for the free boundary problem, and also present an algorithm of approximating the solution.
Consider a finite number of balls initially placed in $L$ bins. At each time step a ball is taken from each non-empty bin. Then all the balls are uniformly reassigned into bins. This finite Markov chain is called Repeated Balls-into-Bins process and is a discrete time interacting particle system with parallel updating. We prove that, starting from a suitable (chaotic) set of initial states, as $L\to+\infty$, the numbers of balls in each bin becomes independent from the rest of the system i.e. we have propagation of chaos. We furthermore study some equilibrium properties of the limiting nonline…
We discuss numerical aspects related to a new class of nonlinear Stochastic Differential Equations in the sense of McKean, which are supposed to represent non conservative nonlinear Partial Differential equations (PDEs). We propose an original interacting particle system for which we discuss the propagation of chaos. We consider a time-discretized approximation of this particle system to which we associate a random function which is proved to converge to a solution of a regularized version of a nonlinear PDE.
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, Poincaré inequalities are used to get explicit estimates concerning the long time behaviour of both the nonlinear process and the particle system.
The Bird and Nanbu systems are particle systems used to approximate the solution of the mollied Boltzmann equation. In particular, they have the propagation of chaos property. Following [GM94, GM97, GM99], we use coupling techniques and results on branching processes to write an expansion of the error in the propagation of chaos in terms of the number of particles, for slightly more general systems than the ones cited above. This result leads to the proof of the a.s convergence and the centrallimit theorem for these systems. In particular, we have a central-limit theorem for the empirical meas…
Spatially structured neural networks driven by jump diffusion noise with monotone coefficients, fully path dependent delay and with a disorder parameter are considered. Well-posedness for the associated McKean-Vlasov equation and a corresponding propagation of chaos result in the infinite population limit are proven. Our existence result for the McKean-Vlasov equation is based on the Euler approximation, that is applied to this type of equation for the first time.
Université Claude Bernard Lyon 1（里昂第一大学）；CNRS UMR 5208, Institut Camille Jordan（法国国家科学研究中心联合研究单位5208，卡米尔·让研究所）；Laboratoire de Mathématique Blaise Pascal, CNRS UMR 6620, Université Clermont-Auvergne（布莱斯·帕斯卡数学实验室，法国国家科学研究中心联合研究单位6620，克莱蒙奥弗涅大学）
This article is concerned with the exponential stability and the uniform propagation of chaos properties of a class of Extended Ensemble Kalman-Bucy filters with respect to the time horizon. This class of nonlinear filters can be interpreted as the conditional expectations of nonlinear McKean Vlasov type diffusions with respect to the observation process. In contrast with more conventional Langevin nonlinear drift type processes, the mean field interaction is encapsulated in the covariance matrix of the diffusion. The main results discussed in the article are quantitative estimates of the expo…
Propagation of chaos is a well-studied phenomenon and shows that weakly interacting diffusions may become independent as the system size converges to infinity. Most of the literature focuses on the case of exchangeable systems where all involved diffusions have the same distribution and are "of the same size". In this paper, we analyze the case where only a few diffusions start outside of an accessible trap. Our main result shows that in this "sparse regime" the system of weakly interacting diffusions converges in distribution to a forest of excursions from the trap. In particular, initial ind…
We study a stochastic spatial epidemic model where the $N$ individuals carry two features: a position and an infection state, interact and move in $\R^d$. In this Markovian model, the evolution of the infection states are described with the help of the Poisson Point Processes , whereas the displacement of the individuals are driven by mean field advection, a (state dependence) diffusion and also a common noise, so that the spatial dynamic is a random process. We prove that when the number $N$ of individual goes to infinity, the conditional propagation of chaos holds : conditionnally to the com…
We consider the 3D Landau equation for moderately soft potentials ($γ\in(-2,0)$ with the usual notation) as well as a stochastic system of $N$ particles approximating it. We first establish some strong/weak stability estimates for the Landau equation, which are satisfying only when $γ\in [-1,0)$. We next prove, under some appropriate conditions on the initial data, the so-called propagation of molecular chaos, i.e. that the empirical measure of the particle system converges to the unique solution of the Landau equation. The main difficulty is the presence of a singularity in the equation. When…
Propagation of Chaos for Mean-field Mean Reflected Backward Stochastic Differential Equations
Research Center for Mathematics and Interdisciplinary Sciences, Shandong University（山东大学数学与交叉科学研究中心）；Frontiers Science Center for Nonlinear Expectations (Ministry of Education), Shandong University（山东大学非线性预期前沿科学中心（教育部））；Shandong Province Key Laboratory of Financial Risk, Shandong University（山东大学山东省金融风险重点实验室）
We prove a strong/weak stability estimate for the 3D homogeneous Boltzmann equation with moderately soft potentials ($γ\in(-1,0)$) using the Wasserstein distance with quadratic cost. This in particular implies the uniqueness in the class of all weak solutions, assuming only that the initial condition has a finite entropy and a finite moment of sufficiently high order. We also consider the Nanbu $N$-stochastic particle system which approximates the weak solution. We use a probabilistic coupling method and give, under suitable assumptions on the initial condition, a rate of convergence of the em…
