Asymptotic behaviors of multiscale McKean-Vlasov stochastic systems

TL;DR

This paper studies the long-term behavior of multiscale McKean-Vlasov stochastic systems, proving convergence of slow components to averaged equations and establishing a central limit theorem with explicit convergence rates.

Contribution

It introduces the Poisson equation method to analyze multiscale McKean-Vlasov systems, providing optimal convergence order and a new central limit theorem.

Findings

Slow component converges to the averaging equation with order 1/2.

Established a central limit theorem for the systems.

Derived explicit weak convergence rates.

Abstract

In this paper, we investigate a class of multiscale McKean-Vlasov stochastic systems, where the entire system depends on the distributions of both fast and slow components. First of all, by applying the Poisson equation method, we prove that the slow component converges to the solution of the averaging equation in the $L^p$ ($p\geq 2$) space with the optimal convergence order $\frac12$. Then we establish a central limit theorem for these systems and derive the weak convergence rate using the Poisson equation technique and the regularity properties of the associated Cauchy problem.