Interacting diffusions approximating the porous medium equation and propagation of chaos

We study a system of interacting diffusions and show that for a large number of particles its empirical measure approximates the solution of the porous medium equation. Furthermore we prove propagation of chaos.

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Year of publication:	2007
Authors:	Philipowski, Robert
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 117.2007, 4, p. 526-538
Publisher:	Elsevier
Keywords:	Porous medium equation Interacting diffusion processes Propagation of chaos

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873605