Title: Mean-field Limits of Interacting Particle Systems
Speaker: Dr. D. Yogeshwaran, Ecole Normale Superieure / INRIA, Paris.
Date: 02 September 2009
Time: 11.30 - 12.45
Venue: ECE 1.07
Consider a system of N interacting particles evolving over time with
Markovian dynamics. The interaction occurs only due to a shared resource.
I shall briefly sketch the classical tightness-existence-uniqueness
approach used to prove weak convergence of the system to a limiting system
as N tends to infinity. I shall illustrate another approach in more detail
with the example of a nonlinear Markov chain. In the case of exchangeable
particles, weak convergence of the system implies propogation of chaos
i.e, in the limiting system particles evolve independently due to a
deterministically shared resource.