Long-time behaviors of mean-field interacting particle systems related to McKean-Vlasov equations

Abstract

In this paper, we investigate gradient estimate of the Poisson equation and the exponential convergence in the Wasserstein metric $W_{1,d_{l^1}}$, uniform in the number of particles, and uniform-in-time propagation of chaos for the mean-field weakly interacting particle system related to McKean-Vlasov equation. By means of the known approximate componentwise reflection coupling and with the help of some new cost function, we obtain explicit estimates for those three problems, avoiding the technical conditions in the known results. Our results apply when the confinement potential $V$ has many wells, the interaction potential $W$ has bounded second mixed derivative ${\nabla }_{xy}^{2}W$ which should be not too big so that there is no phase transition. As an application, we obtain the concentration inequality of the mean-field interacting particle system with explicit and sharp constants, uniform in time. Several examples are provided to illustrate the results.

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Cited by in corpus (4)

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• Parameter Estimation for the McKean-Vlasov Stochastic Differential Equation
• Exponential Ergodicity for Non-Dissipative McKean-Vlasov SDEs