From the backward Kolmogorov PDE on the Wasserstein space to propagation of chaos for Mckean-Vlasov SDEs

Understand

This article is a continuation of our first work \cite{chaudruraynal:frikha}.

• We here establish some new quantitative estimates for propagation of chaos of non-linear stochastic differential equations in the sense of McKean-Vlasov.
• We obtain explicit error estimates, at the level of the trajectories, at the level of the semi-group and at the level of the densities, for the mean-field approximation by systems of interacting particles under mild regularity assumptions on the coefficients.
• A first order expansion for the difference between the densities of one particle and its mean-field limit is also established.