Propagation of chaos for maxima of particle systems with mean-field drift interaction

被引:1
|
作者
Kolliopoulos, Nikolaos [1 ]
Larsson, Martin [1 ]
Zhang, Zeyu [1 ]
机构
[1] Carnegie Mellon Univ, Dept Math Sci, Wean Hall,Hamerschlag Dr, Pittsburgh, PA 15213 USA
基金
美国国家科学基金会;
关键词
60K35; 60H10; 60F05; 60G70; LIMIT; DIFFUSIONS;
D O I
10.1007/s00440-023-01213-9
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
We study the asymptotic behavior of the normalized maxima of real-valued diffusive particles with mean-field drift interaction. Our main result establishes propagation of chaos: in the large population limit, the normalized maxima behave as those arising in an i.i.d. system where each particle follows the associated McKean-Vlasov limiting dynamics. Because the maximum depends on all particles, our result does not follow from classical propagation of chaos, where convergence to an i.i.d. limit holds for any fixed number of particles but not all particles simultaneously. The proof uses a change of measure argument that depends on a delicate combinatorial analysis of the iterated stochastic integrals appearing in the chaos expansion of the Radon-Nikodym density.
引用
收藏
页码:1093 / 1127
页数:35
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