Work

Sharp propagation of chaos for McKean-Vlasov equation with non constant diffusion coefficient

Year: 2025

Type: article

Abstract: We present a method to obtain sharp local propagation of chaos results for a system of N particles with a diffusion coefficient that it not constant and may depend of the empirical measure. This extends the recent works of Lacker [16] and Wang [26] to the case of non constant diffusions. The proof relies on the BBGKY hierarchy to obtain a system of differential inequalities on the relative entropy of k particles, involving the Fisher information.

Source: Electronic Communications in Probability

DOI: 10.1214/25-ecp701

Authors: Jules Grass, Arnaud Guillin, Christophe Poquet

Institutions: Lyon 1 Université, Centre National de la Recherche Scientifique, Institut Camille Jordan, Université Clermont Auvergne, Laboratoire de Mathématiques Blaise Pascal

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

Funder: Agence Nationale de la Recherche