Sequential propagation of chaos

Kai Du; Yifan Jiang; Xiaochen Li

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arXiv · 2301.09913

Sequential propagation of chaos

Kai Du·Yifan Jiang·Xiaochen Li

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Abstract

A new class of particle systems with sequential interaction is proposed to approximate the McKean-Vlasov process that originally arises as the limit of the mean-field interacting particle system. The weighted empirical measure of this particle system is proved to converge to the law of the McKean-Vlasov process as the system grows. Based on the Wasserstein metric, quantitative propagation of chaos results are obtained for two cases: the finite time estimates under the monotonicity condition and the uniform in time estimates under the dissipation and the non-degenerate conditions. Numerical experiments are implemented to demonstrate the theoretical results.

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Kai Du, Yifan Jiang, Xiaochen Li. 2023-01-24. Sequential propagation of chaos. https://arxiv.org/abs/2301.09913

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