An elementary approach to uniform in time propagation of chaos
HTML articles powered by AMS MathViewer
- by Alain Durmus, Andreas Eberle, Arnaud Guillin and Raphael Zimmer
- Proc. Amer. Math. Soc. 148 (2020), 5387-5398
- DOI: https://doi.org/10.1090/proc/14612
- Published electronically: September 4, 2020
- PDF | Request permission
Abstract:
Based on a coupling approach, we prove uniform in time propagation of chaos for weakly interacting mean-field particle systems with possibly non-convex confinement and interaction potentials. The approach is based on a combination of reflection and synchronous couplings applied to the individual particles. It provides explicit quantitative bounds that significantly extend previous results for the convex case.References
- D. Benedetto, E. Caglioti, J. A. Carrillo, and M. Pulvirenti, A non-Maxwellian steady distribution for one-dimensional granular media, J. Statist. Phys. 91 (1998), no. 5-6, 979–990. MR 1637274, DOI 10.1023/A:1023032000560
- François Bolley, Ivan Gentil, and Arnaud Guillin, Uniform convergence to equilibrium for granular media, Arch. Ration. Mech. Anal. 208 (2013), no. 2, 429–445. MR 3035983, DOI 10.1007/s00205-012-0599-z
- François Bolley, Arnaud Guillin, and Florent Malrieu, Trend to equilibrium and particle approximation for a weakly selfconsistent Vlasov-Fokker-Planck equation, M2AN Math. Model. Numer. Anal. 44 (2010), no. 5, 867–884. MR 2731396, DOI 10.1051/m2an/2010045
- François Bolley, Arnaud Guillin, and Cédric Villani, Quantitative concentration inequalities for empirical measures on non-compact spaces, Probab. Theory Related Fields 137 (2007), no. 3-4, 541–593. MR 2280433, DOI 10.1007/s00440-006-0004-7
- François Bolley, Ivan Gentil, and Arnaud Guillin, Convergence to equilibrium in Wasserstein distance for Fokker-Planck equations, J. Funct. Anal. 263 (2012), no. 8, 2430–2457. MR 2964689, DOI 10.1016/j.jfa.2012.07.007
- O. A. Butkovsky, On ergodic properties of nonlinear Markov chains and stochastic McKean-Vlasov equations, Theory Probab. Appl. 58 (2014), no. 4, 661–674. MR 3403022, DOI 10.1137/S0040585X97986825
- José A. Carrillo, Robert J. McCann, and Cédric Villani, Kinetic equilibration rates for granular media and related equations: entropy dissipation and mass transportation estimates, Rev. Mat. Iberoamericana 19 (2003), no. 3, 971–1018. MR 2053570, DOI 10.4171/RMI/376
- José A. Carrillo, Robert J. McCann, and Cédric Villani, Contractions in the 2-Wasserstein length space and thermalization of granular media, Arch. Ration. Mech. Anal. 179 (2006), no. 2, 217–263. MR 2209130, DOI 10.1007/s00205-005-0386-1
- J. A. Carrillo and G. Toscani, Wasserstein metric and large-time asymptotics of nonlinear diffusion equations, New trends in mathematical physics, World Sci. Publ., Hackensack, NJ, 2004, pp. 234–244. MR 2163983
- J. A. Carrillo and G. Toscani, Contractive probability metrics and asymptotic behavior of dissipative kinetic equations, Riv. Mat. Univ. Parma (7) 6 (2007), 75–198. MR 2355628
- P. Cattiaux, A. Guillin, and F. Malrieu, Probabilistic approach for granular media equations in the non-uniformly convex case, Probab. Theory Related Fields 140 (2008), no. 1-2, 19–40. MR 2357669, DOI 10.1007/s00440-007-0056-3
- P. Del Moral and J. Tugaut, Uniform propagation of chaos and creation of chaos for a class of nonlinear diffusions, 2015.
- Andreas Eberle, Reflection couplings and contraction rates for diffusions, Probab. Theory Related Fields 166 (2016), no. 3-4, 851–886. MR 3568041, DOI 10.1007/s00440-015-0673-1
- A. Eberle, A. Guillin, and R. Zimmer, Quantitative Harris type theorems for diffusions and McKean-Vlasov processes, Trans. Amer. Math. Soc. (to appear), DOI:10.1090/tran/7576.
- Andreas Eberle, Reflection coupling and Wasserstein contractivity without convexity, C. R. Math. Acad. Sci. Paris 349 (2011), no. 19-20, 1101–1104 (English, with English and French summaries). MR 2843007, DOI 10.1016/j.crma.2011.09.003
- Tadahisa Funaki, A certain class of diffusion processes associated with nonlinear parabolic equations, Z. Wahrsch. Verw. Gebiete 67 (1984), no. 3, 331–348. MR 762085, DOI 10.1007/BF00535008
- W. Hammersley, D. Siska, and L. Szprch, McKean-Vlasov SDEs under measure dependent Lyapunov conditions, https://arxiv.org/abs/1802.03974, 2018.
- Maxime Hauray and Stéphane Mischler, On Kac’s chaos and related problems, J. Funct. Anal. 266 (2014), no. 10, 6055–6157. MR 3188710, DOI 10.1016/j.jfa.2014.02.030
- S. Herrmann and J. Tugaut, Non-uniqueness of stationary measures for self-stabilizing processes, Stochastic Process. Appl. 120 (2010), no. 7, 1215–1246. MR 2639745, DOI 10.1016/j.spa.2010.03.009
- M. Kac, Foundations of kinetic theory, Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, 1954–1955, vol. III, University of California Press, Berkeley-Los Angeles, Calif., 1956, pp. 171–197. MR 0084985
- Torgny Lindvall and L. C. G. Rogers, Coupling of multidimensional diffusions by reflection, Ann. Probab. 14 (1986), no. 3, 860–872. MR 841588
- Florent Malrieu, Convergence to equilibrium for granular media equations and their Euler schemes, Ann. Appl. Probab. 13 (2003), no. 2, 540–560. MR 1970276, DOI 10.1214/aoap/1050689593
- H. P. McKean Jr., A class of Markov processes associated with nonlinear parabolic equations, Proc. Nat. Acad. Sci. U.S.A. 56 (1966), 1907–1911. MR 221595, DOI 10.1073/pnas.56.6.1907
- Sylvie Méléard, Asymptotic behaviour of some interacting particle systems; McKean-Vlasov and Boltzmann models, Probabilistic models for nonlinear partial differential equations (Montecatini Terme, 1995) Lecture Notes in Math., vol. 1627, Springer, Berlin, 1996, pp. 42–95. MR 1431299, DOI 10.1007/BFb0093177
- Stéphane Mischler and Clément Mouhot, Kac’s program in kinetic theory, Invent. Math. 193 (2013), no. 1, 1–147. MR 3069113, DOI 10.1007/s00222-012-0422-3
- Stéphane Mischler, Clément Mouhot, and Bernt Wennberg, A new approach to quantitative propagation of chaos for drift, diffusion and jump processes, Probab. Theory Related Fields 161 (2015), no. 1-2, 1–59. MR 3304746, DOI 10.1007/s00440-013-0542-8
- S. Mishura and A. Y. Veretennikov, Existence and uniqueness theorems for solutions of Mckean–Vlasov stochastic equations, https://arxiv.org/abs/1603.02212v5, 2016.
- Daniel Revuz and Marc Yor, Continuous martingales and Brownian motion, 3rd ed., Grundlehren der mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], vol. 293, Springer-Verlag, Berlin, 1999. MR 1725357, DOI 10.1007/978-3-662-06400-9
- Alain-Sol Sznitman, Topics in propagation of chaos, École d’Été de Probabilités de Saint-Flour XIX—1989, Lecture Notes in Math., vol. 1464, Springer, Berlin, 1991, pp. 165–251. MR 1108185, DOI 10.1007/BFb0085169
- Julian Tugaut, Convergence to the equilibria for self-stabilizing processes in double-well landscape, Ann. Probab. 41 (2013), no. 3A, 1427–1460. MR 3098681, DOI 10.1214/12-AOP749
- Julian Tugaut, Self-stabilizing processes in multi-wells landscape in $\Bbb {R}^d$-invariant probabilities, J. Theoret. Probab. 27 (2014), no. 1, 57–79. MR 3174216, DOI 10.1007/s10959-012-0435-2
- Cédric Villani, Topics in optimal transportation, Graduate Studies in Mathematics, vol. 58, American Mathematical Society, Providence, RI, 2003. MR 1964483, DOI 10.1090/gsm/058
- Cédric Villani, Mathematics of granular materials, J. Stat. Phys. 124 (2006), no. 2-4, 781–822. MR 2264625, DOI 10.1007/s10955-006-9038-6
- Cédric Villani, Optimal transport, Grundlehren der mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], vol. 338, Springer-Verlag, Berlin, 2009. Old and new. MR 2459454, DOI 10.1007/978-3-540-71050-9
Bibliographic Information
- Alain Durmus
- Affiliation: CMLA, ENS Cachan, CNRS, Université Paris-Saclay, 94235 Cachan, France
- MR Author ID: 1018760
- Email: alain.durmus@cmla.ens-cachan.fr
- Andreas Eberle
- Affiliation: Universität Bonn, Institut für Angewandte Mathematik, Endenicher Allee 60, 53115 Bonn, Germany
- MR Author ID: 363836
- Email: eberle@uni-bonn.de
- Arnaud Guillin
- Affiliation: Laboratoire de Mathématiques Blaise Pascal, CNRS - UMR 6620, Université Clermont-Auvergne, Avenue des landais, 63177 Aubiere cedex, France
- MR Author ID: 661909
- Email: guillin@math.univ-bpclermont.fr
- Raphael Zimmer
- Affiliation: Universität Bonn, Institut für Angewandte Mathematik, Endenicher Allee 60, 53115 Bonn, Germany
- MR Author ID: 1228825
- Email: Raphael@infoZimmer.de
- Received by editor(s): October 30, 2018
- Published electronically: September 4, 2020
- Additional Notes: This work was initiated through a Procope project, which is greatly acknowledged. The work was partially supported by ANR-17-CE40-0030, by the Hausdorff Center for Mathematics, and by the grant 346300 for IMPAN from the Simons Foundation and the matching 2015-2019 Polish MNiSW fund.
- Communicated by: Zhen-Qing Chen
- © Copyright 2020 American Mathematical Society
- Journal: Proc. Amer. Math. Soc. 148 (2020), 5387-5398
- MSC (2010): Primary 60J60, 60H10
- DOI: https://doi.org/10.1090/proc/14612
- MathSciNet review: 4163850