A Hilbertian approach for fluctuations on the McKean-Vlasov model

Abstract

We consider the sequence of fluctuation processes associated with the empirical measures of the interacting particle system approximating the d-dimensional McKean-Vlasov equation and prove that they are tight as continuous processes with values in a precise weighted Sobolev space. More precisely, we prove that these fluctuations belong uniformly (with respect to the size of the system and to time) to W-0(-(1+D),2D) and converge in C([0,T], W-0(-(2+2D),D)) to a Ornstein- Uhlenbeck process obtained as the solution of a Langevin equation in W-0(-(4+2D),D), where D is equal to 1 + [d/2]. It appears in the proofs that the spaces W-0(-(1+D),2D) and W-0(-(2+2D),D) are minimal Sobolev spaces in which to immerse the fluctuations, which was our aim following a physical point of view. (C) 1997 Elsevier Science B.V.