PROPAGATION OF CHAOS FOR INTERACTING PARTICLES SUBJECT TO ENVIRONMENTAL NOISE

• 成果类型: Article
• 署名作者: Coghi, Michele; Flandoli, Franco
• 署名单位: Scuola Normale Superiore di Pisa; University of Pisa
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/15-AAP1120
• 发表日期: 2016
• 页码: 1407-1442
• 关键词: conditional propagation

摘要

A system of interacting particles described by stochastic differential equations is considered. As oppopsed to the usual model, where the noise perturbations acting on different particles are independent, here the particles are subject to the same space-dependent noise, similar to the (noninteracting) particles of the theory of diffusion of passive scalars. We prove a result of propagation of chaos and show that the limit PDE is stochastic and of inviscid type, as opposed to the case when independent noises drive the different particles.