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arXiv · 2212.11714

Weak error analysis for a nonlinear SPDE approximation of the Dean-Kawasaki equation

Ana Djurdjevac·Helena Kremp·Nicolas Perkowski
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Abstract

We consider a nonlinear SPDE approximation of the Dean-Kawasaki equation for independent particles. Our approximation satisfies the physical constraints of the particle system, i.e. its solution is a probability measure for all times (preservation of positivity and mass conservation). Using a duality argument, we prove that the weak error between particle system and nonlinear SPDE is of the order $N^{-1-1/(d/2+1)}\log (N)$. Along the way we show well-posedness, a comparison principle and an entropy estimate for a class of nonlinear regularized Dean-Kawasaki equations with It\^o noise. Keywords: Dean-Kawasaki equation, weak error analysis, Laplace duality

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Ana Djurdjevac, Helena Kremp, Nicolas Perkowski. 2022-12-22. Weak error analysis for a nonlinear SPDE approximation of the Dean-Kawasaki equation. https://doi.org/10.1007/s40072-024-00324-1

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