PROPAGATION OF CHAOS FOR INTERACTING PARTICLES SUBJECT TO ENVIRONMENTAL NOISE

被引：45

作者：

Coghi, Michele ^{[1
]}

Flandoli, Franco ^{[2
]}

机构：

[1] Scuola Normale Super Pisa, Piazza Cavalieri 7, I-56126 Pisa, Italy

[2] Univ Pisa, Dipartimento Matemat, Piazza Bruno Pontecorvo 5, I-56127 Pisa, Italy

来源：

ANNALS OF APPLIED PROBABILITY | 2016年 / 26卷 / 03期

关键词：

Interacting particle system; propagation of chaos; mean field limit; Kraichnan noise; Wasserstain metric; CONDITIONAL PROPAGATION;

D O I：

10.1214/15-AAP1120

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A system of interacting particles described by stochastic differential equations is considered. As oppopsed to the usual model, where the noise perturbations acting on different particles are independent, here the particles are subject to the same space-dependent noise, similar to the (noninteracting) particles of the theory of diffusion of passive scalars. We prove a result of propagation of chaos and show that the limit PDE is stochastic and of inviscid type, as opposed to the case when independent noises drive the different particles.

引用

页码：1407 / 1442

页数：36

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