Propagation of chaos for interacting particles subject to environmental noise

Citation
Coghi, Michele et Flandoli, Franco, Propagation of chaos for interacting particles subject to environmental noise, Annals of applied probability , 26(3), 2016, pp. 1407-1442
ISSN journal
10505164
Volume
26
Issue
3
Year of publication
2016
Pages
1407 - 1442
Database
ACNP
SICI code
Abstract
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.