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Uniform-in-time propagation of chaos for second order interacting particle systems

Yun Gong 111Beijing International Center for Mathematical Research, Peking University, Beijing 100871, China. [email protected].  Zhenfu Wang222Beijing International Center for Mathematical Research, Peking University, Beijing 100871, China. [email protected].  Pengzhi Xie333Department of Finance and Control Sciences, School of Mathematical Sciences, Fudan University, Shanghai 200433, China. [email protected].
Abstract

We study the long time behavior of second order particle systems interacting through global Lipschitz kernels. Combining hypocoercivity method in [37] and relative entropy method in [26], we are able to overcome the degeneracy of diffusion in position direction by controlling the relative entropy and relative Fisher information together. This implies the uniform-in-time propagation of chaos through the strong convergence of all marginals. Our method works at the level of Liouville equation and relies on the log Sobolev inequality of equilibrium of Vlasov-Fokker-Planck equation.

1 Introduction

1.1 Framework

In this article, we consider the stochastic second order particle systems for NN indistinguishable point-particles, subject to a confining external force V-\nabla V and an interacting kernel KK,

{dxi(t)=vi(t)dt,dvi(t)=V(xi(t))dt+1NjiK(xi(t)xj(t))dtγvi(t)dt+2σdBti,\left\{\begin{aligned} \mathrm{d}x_{i}(t)&=v_{i}(t)\mathrm{d}t,\\ \mathrm{d}v_{i}(t)&=-\nabla V(x_{i}(t))\mathrm{d}t+\frac{1}{N}\sum_{j\neq i}K(x_{i}(t)-x_{j}(t))\mathrm{d}t-\gamma v_{i}(t)\mathrm{d}t+\sqrt{2\sigma}\mathrm{d}B_{t}^{i},\end{aligned}\right. (1.1)

where i=1,2,,Ni=1,2,...,N. We take the position xix_{i} in Ω\Omega, which may be the whole space d\mathbb{R}^{d} or the periodic torus 𝕋d\mathbb{T}^{d}, while each velocity viv_{i} lies in d\mathbb{R}^{d}. Note that {(Bi)}i=1N\{(B_{\cdot}^{i})\}_{i=1}^{N} denotes NN independent copies of Wiener processes on d\mathbb{R}^{d}. We take the diffusion coefficient before the Brownian motions 2σ\sqrt{2\sigma} as a constant for simplicity. Usually one can take σ=γβ1\sigma=\gamma\beta^{-1}, where the constant γ>0\gamma>0 denotes the friction parameter, and β\beta is the inverse temperature. In more general models, those σ\sigma may depend on the number of particles NN, the position of particles xix_{i}, etc.

In many important models, the kernel is given by K=WK=-\nabla W, where WW is an interacting potential. A well-known example for WW is the Coulomb potential. We recall that the Hamiltonian energy H:(Ω×d)NH:(\Omega\times\mathbb{R}^{d})^{N}\rightarrow\mathbb{R} associated to the particle system (1.1) reads as

H(x1,v1,,xN,vN)=12i=1Nvi2+i=1NV(xi)+12Ni=1NjiW(xixj),H(x_{1},v_{1},...,x_{N},v_{N})=\frac{1}{2}\sum_{i=1}^{N}v_{i}^{2}+\sum_{i=1}^{N}V(x_{i})+\frac{1}{2N}\sum_{i=1}^{N}\sum_{j\neq i}W(x_{i}-x_{j}), (1.2)

which is the sum of the kinetic energy 12i=1Nvi2\frac{1}{2}\sum_{i=1}^{N}v_{i}^{2} and the potential energy U(x1,,xN)U(x_{1},...,x_{N}) defined by

U(x1,,xN):=i=1NV(xi)+12Ni=1NjiW(xixj).U(x_{1},...,x_{N}):=\sum_{i=1}^{N}V(x_{i})+\frac{1}{2N}\sum_{i=1}^{N}\sum_{j\neq i}W(x_{i}-x_{j}). (1.3)

We recall the Liouville equation as in [26], which describes the joint distribution fNf_{N} of the particle system (1.1) on (Ω×d)N(\Omega\times\mathbb{R}^{d})^{N},

tfN+i=1NvixifN+i=1N(xiV(xi)+1NjiK(xixj))vifN=σi=1NΔvifN+γi=1Nvi(vifN).\begin{split}\partial_{t}f_{N}+\sum_{i=1}^{N}v_{i}\cdot\nabla_{x_{i}}f_{N}&+\sum_{i=1}^{N}\Big{(}-\nabla_{x_{i}}V(x_{i})+\frac{1}{N}\sum_{j\neq i}K(x_{i}-x_{j})\Big{)}\cdot\nabla_{v_{i}}f_{N}\\ &=\sigma\sum_{i=1}^{N}\Delta_{v_{i}}f_{N}+\gamma\sum_{i=1}^{N}\nabla_{v_{i}}\cdot(v_{i}f_{N}).\end{split} (1.4)

We define the associated Liouville operator as

LNfN=i=1NvixifN+i=1N(xiV(xi)+1NjiK(xixj))vifNσi=1NΔvifNγi=1Nvi(vifN).\begin{split}L_{N}f_{N}=&\sum_{i=1}^{N}v_{i}\cdot\nabla_{x_{i}}f_{N}+\sum_{i=1}^{N}\Big{(}-\nabla_{x_{i}}V(x_{i})+\frac{1}{N}\sum_{j\neq i}K(x_{i}-x_{j})\Big{)}\cdot\nabla_{v_{i}}f_{N}\\ &-\sigma\sum_{i=1}^{N}\Delta_{v_{i}}f_{N}-\gamma\sum_{i=1}^{N}\nabla_{v_{i}}\cdot(v_{i}f_{N}).\end{split} (1.5)

As the mean field theory indicates, when NN\rightarrow\infty, the limiting behavior of any particle in (1.1) is described by the McKean-Vlasov SDE

{dx(t)=v(t)dt,dv(t)=V(x(t))+Kρ(x(t))dtγv(t)dt+2σdBt,\left\{\begin{aligned} \mathrm{d}x(t)&=v(t)\mathrm{d}t,\\ \mathrm{d}v(t)&=-\nabla V(x(t))+K\ast\rho(x(t))\mathrm{d}t-\gamma v(t)\mathrm{d}t+\sqrt{2\sigma}\mathrm{d}B_{t},\end{aligned}\right. (1.6)

where (x,v)Ω×d(x,v)\in\Omega\times\mathbb{R}^{d}, (B)(B_{\cdot}) denotes a standard Brownian motion on d\mathbb{R}^{d}. We then denote its phase space density by ft=Law(x(t),v(t))f_{t}=\mbox{Law}(x(t),v(t)) and the spatial density by

ρ(t,x)=df(t,x,v)dv.\rho(t,x)=\int_{\mathbb{R}^{d}}f(t,x,v)\mathrm{d}v.

The law ftf_{t} further satisfies the mean-field equation or the nonlinear Fokker-Planck equation

tf+vxfVvf+(Kρ)vf=σΔvf+γv(vf).\partial_{t}f+v\cdot\nabla_{x}f-\nabla V\cdot\nabla_{v}f+(K\ast\rho)\cdot\nabla_{v}f=\sigma\Delta_{v}f+\gamma\nabla_{v}\cdot(vf). (1.7)

If σ=γβ1\sigma=\gamma\beta^{-1}, one can check that its nonlinear equilibrium satisfies the following equation

f=1Zeβ(V(x)+12v2+Wρ),f_{\infty}=\frac{1}{Z}e^{-\beta(V(x)+\frac{1}{2}v^{2}+W\ast\rho_{\infty})}, (1.8)

where ZZ is the constant to make ff_{\infty} a probability density. In the literature, one may use the “formal equilibrium” of Eq.(1.7) at time tt to refer

f^t=1Z^eβ(V(x)+12v2+Wρt),\hat{f}_{t}=\frac{1}{\hat{Z}}e^{-\beta(V(x)+\frac{1}{2}v^{2}+W\ast\rho_{t})}, (1.9)

again where Z^\hat{Z} is the constant to make f^t\hat{f}_{t} a probability density.

It is well-known that the large NN limit of particle system (1.1) is mathematically formalized by the notion of propagationofchaospropagation\ of\ chaos originating in [29]. See also the surveys for instance [36, 18, 25, 27]. Recently, many important works have been done in quantifying propagation of chaos for different kinds of first order interacting particle systems with singualr kernels. See for instance [27, 11] for detailed descriptions of recent development. However, for 2nd order systems or Newton’s dynamcis for interacting particles, the natural question is to consider the mean field limit of a purely deterministic problem, that is σ=0\sigma=0 as in Eq. (1.1) or our setting with the diffusion only acts on the velocity variables. Thus the limiting equation (1.7) has the Laplacian term only in its velocity variable. Consequently, we cannot treat more general kernels KK and long time propagation of chaos for 2nd order systems by exploiting entropy dissipation as easy as those in the first-order setting for instance as in [28].

The main purposes of this article are two-fold. Firstly, we study the long time convergence of the solution to the N-particle Liouville equation (1.4) toward its unique equilibrium (i.e. the Gibbs measure) uniformly in NN. Secondly, we establish propagation of chaos of (1.1) (or (1.4) )toward (1.6) (or (1.7) ) uniformly in time. We combine the entropy method developed in [26] with the hypocoercivity method refined in [37] to overcome the degeneracy of diffusion in position direction. Here we deal with the cases where the interaction kernel is globally Lipschitz and the strength of diffusion σ\sigma is large enough. Uniform-in-time propagation of chaos cannot hold in full generality, one of the most critical issues is that the non-linear equilibrium of (1.7) might not be unique. Furthermore, for systems (1.4) with singular interactions KK, for instance the Coulomb interactions, even the mean-field limit/propagation of chaos for general initial data on a fixed finite time horizon, for instance t[0,T]t\in[0,T], is still widely open. The recent progress can be found for instance in [23, 24, 26, 31, 7, 6, 5]. Uniform-in-NN convergence of (1.4) toward its equilibrium is seldom investigated for systems even with very mild singularities. Those will be the objects of our further study.

Let us briefly describe how we combine the relative entropy with hypocoercivity to establish propagation of chaos. To illustrate the ideas, we pretend all solutions are classical and there is no regularity issue when we take derivatives. We first recall the evolution of relative entropy in [26] for systems with bounded kernel KK,

ddtHN(fNt|ftN)\displaystyle\frac{\mathrm{d}}{\mathrm{d}t}H_{N}(f^{t}_{N}|f_{t}^{\otimes N})\leq 1N(Ω×d)NfNtR¯NdZ\displaystyle-\frac{1}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\overline{R}_{N}\mathrm{d}Z (1.10)
σN(Ω×d)NfNt|VlogfNtftN|2dZ,\displaystyle-\frac{\sigma}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\bigg{|}\nabla_{V}\log\frac{f^{t}_{N}}{f_{t}^{\otimes N}}\bigg{|}^{2}\mathrm{d}Z,

where HN(fNt|ftN)H_{N}(f^{t}_{N}|f_{t}^{\otimes N}) is the normalized relative entropy defined as

HN(fNt|ftN)=1N(Ω×d)NfNtlogfNtftNdZ,H_{N}(f^{t}_{N}|f_{t}^{\otimes N})=\frac{1}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\log\frac{f^{t}_{N}}{f_{t}^{\otimes N}}\mathrm{d}Z,

and R¯N\overline{R}_{N} is the error term defined as

R¯N=i=1Nvilogft(xi,vi){1Nj,jiK(xixj)Kρt(xi)}.\overline{R}_{N}=\sum_{i=1}^{N}\nabla_{v_{i}}\log f_{t}(x_{i},v_{i})\cdot\bigg{\{}\frac{1}{N}\sum_{j,j\neq i}K(x_{i}-x_{j})-K\ast\rho_{t}(x_{i})\bigg{\}}.

Hereinafter we write that Z=(x1,v1,x2,v2,,xN,vN)(Ω×d)NZ=(x_{1},v_{1},x_{2},v_{2},\cdots,x_{N},v_{N})\in(\Omega\times\mathbb{R}^{d})^{N}, X=(x1,x2,,xN)ΩNX=(x_{1},x_{2},\cdots,x_{N})\in\Omega^{N} and V=(v1,v2,,vN)(d)NV=(v_{1},v_{2},\cdots,v_{N})\in(\mathbb{R}^{d})^{N}. Then by integration by parts, one can rewrite (1.10) as

ddtHN(fNt|ftN)=\displaystyle\frac{\mathrm{d}}{\mathrm{d}t}H_{N}(f^{t}_{N}|f_{t}^{\otimes N})= 1N(Ω×d)NVlogfNtftNRN0dZ\displaystyle-\frac{1}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}\nabla_{V}\log\frac{f^{t}_{N}}{f_{t}^{\otimes N}}\cdot R^{0}_{N}\mathrm{d}Z (1.11)
σN(Ω×d)NfNt|VlogfNtftN|2dZ,\displaystyle-\frac{\sigma}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\left|\nabla_{V}\log\frac{f^{t}_{N}}{f_{t}^{\otimes N}}\right|^{2}\mathrm{d}Z,

where RN0R^{0}_{N} is a dNdN-dimensional vector defined as

RN0={1Nj=1,jiNK(xixj)Kρt(xi)}i=1N.R^{0}_{N}=\bigg{\{}\frac{1}{N}\sum_{j=1,j\neq i}^{N}K(x_{i}-x_{j})-K\ast\rho_{t}(x_{i})\bigg{\}}_{i=1}^{N}.

Inspired by the strategy used in [19] to deal with the first order dynamics on torus, we expect to find the term

1N(Ω×d)NfNt|XlogfNtftN|2dZ-\frac{1}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\left|\nabla_{X}\log\frac{f^{t}_{N}}{f_{t}^{\otimes N}}\right|^{2}\mathrm{d}Z

in some way to use log-Sobolev inequality for the second order system (1.1). Fortunately, hypocoercivity in entropy sense in [37] motivates us to take the derivative of normalized relative Fisher information INM(fNt|ftN)I^{M}_{N}(f^{t}_{N}|f_{t}^{\otimes N}), which is defined as

INM(fNt|ftN)=1N(Ω×d)NfNt|MlogfNtftN|2dZ,I_{N}^{M}(f^{t}_{N}|f_{t}^{\otimes N})=\frac{1}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\left|\sqrt{M}\nabla\log\frac{f^{t}_{N}}{f_{t}^{\otimes N}}\right|^{2}\mathrm{d}Z,

where MM is a 2Nd×2Nd2Nd\times 2Nd positive defined matrix. If we choose the matrix MM as the form

M=(EFFG),M=\left(\begin{array}[]{cc}E&F\\ F&G\end{array}\right),

where E,F,GE,F,G are Nd×NdNd\times Nd positive definite matrices to be specified later, then we obtain

ddtINM(fNt|ftN)\displaystyle\frac{\mathrm{d}}{\mathrm{d}t}I_{N}^{M}(f^{t}_{N}|f_{t}^{\otimes N})\leq c1N(Ω×d)NfNt|EXlogfNtftN|2dZ\displaystyle-\frac{c_{1}}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\left|\sqrt{E}\nabla_{X}\log\frac{f^{t}_{N}}{f_{t}^{\otimes N}}\right|^{2}\mathrm{d}Z (1.12)
+c2N(Ω×d)NfNt|GVlogfNtftN|2dZ\displaystyle+\frac{c_{2}}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\left|\sqrt{G}\nabla_{V}\log\frac{f^{t}_{N}}{f_{t}^{\otimes N}}\right|^{2}\mathrm{d}Z
+some error terms,\displaystyle+\mbox{some error terms},

where c1,c2c_{1},c_{2} are two positive constants that depend on M,σ,γM,\sigma,\gamma, KK and VV. The concrete form of error terms will be given in Lemma 4 and Lemma 6. Roughly speaking, time derivative of relative entropy only provides us dissipation in the direction of velocity and time derivative of relative Fisher information provides us further dissipation in the direction of position. The reference measure of (1.10) and (1.12) could be more general. For insatnce, if we replace ftNf_{t}^{\otimes N} by fN,f_{N,\infty}, we can show the convergence from fNtf^{t}_{N} towards fN,f_{N,\infty} as tt\rightarrow\infty.

Now we combine these two quantities, relative entropy and Fisher information, to form a new “modulated energy” as

NM(fNt|fN¯)=HN(fNt|fN¯)+INM(fNt|fN¯),\mathcal{E}^{M}_{N}(f^{t}_{N}|\bar{f_{N}})=H_{N}(f^{t}_{N}|\bar{f_{N}})+I^{M}_{N}(f^{t}_{N}|\bar{f_{N}}),

where fN¯\bar{f_{N}} may take ftNf_{t}^{\otimes N} or fN,f_{N,\infty}. The remaining argument is to appropriately control error terms in (1.12). When fN¯=fN,\bar{f_{N}}=f_{N,\infty}, linear structure of the Liouville equation (1.4) makes error terms vanish. When fN¯=ftN\bar{f_{N}}=f_{t}^{\otimes N}, error terms in (1.12) can be written as

2(Ω×d)NfNtR¯N,MlogfNtftNdZ-2\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\langle\nabla\overline{R}_{N},M\nabla\log\frac{f^{t}_{N}}{f_{t}^{\otimes N}}\rangle\mathrm{d}Z (1.13)

for suitable selection of MM (See Corollary 2), here =(X,V)\nabla=(\nabla_{X},\nabla_{V}). However, the terms xvlogft\nabla_{x}\nabla_{v}\log f_{t} and vvlogft\nabla_{v}\nabla_{v}\log f_{t} are too difficult to control to obtain some uniform-in-time estimates for (1.13) (See Remark 15). The key observation is that xvlogft\nabla_{x}\nabla_{v}\log f_{t} and vvlogft\nabla_{v}\nabla_{v}\log f_{t} are trivial terms if we replace ftf_{t} by its non-linear equilibrium, then we can show

ddtNM(fNt|fN)\displaystyle\frac{\mathrm{d}}{\mathrm{d}t}\mathcal{E}^{M}_{N}(f^{t}_{N}|f_{\infty}^{\otimes N})\leq c1N(Ω×d)NfNt|XlogfNtfN|2dZ\displaystyle-\frac{c^{\prime}_{1}}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\left|\nabla_{X}\log\frac{f^{t}_{N}}{f_{\infty}^{\otimes N}}\right|^{2}\mathrm{d}Z (1.14)
c2N(Ω×d)NfNt|VlogfNtfN|2dZ\displaystyle-\frac{c^{\prime}_{2}}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\left|\nabla_{V}\log\frac{f^{t}_{N}}{f_{\infty}^{\otimes N}}\right|^{2}\mathrm{d}Z
+CN,\displaystyle+\frac{C}{N},

where c1,c2>0,C>0c^{\prime}_{1},c^{\prime}_{2}>0,C>0 are some constants that only depend on M,σ,γ,KM,\sigma,\gamma,K and VV (See Theorem 1.2). To control the error between NM(fNt|ftN)\mathcal{E}^{M}_{N}(f^{t}_{N}|f_{t}^{\otimes N}) and NM(fNt|fN)\mathcal{E}^{M}_{N}(f^{t}_{N}|f_{\infty}^{\otimes N}), we use the convergence result from ftf_{t} to its equilibrium ff_{\infty}. There exist some results studying this type of convergence . In this article, we adapt the arguments as in [21] for KK with small K\|\nabla K\|_{\infty} and [13] for the case when K=WK=-\nabla W and the interaction energy is convex to establish the following estimate

H(ft|f)Cec3t,H(f_{t}|f_{\infty})\leq Ce^{-c^{\prime}_{3}t}, (1.15)

where c3>0c^{\prime}_{3}>0 depends on σ,γ,K\sigma,\gamma,K and C>0C>0 depends on initial data f0f_{0}. We give the sketch of proof of (1.15) in Theorem 1.4 and Theorem 1.5 in the appendix. In the end, we combine (1.14) with (1.15) through 2-Wasserstein distance to conclude.

Finally, we give some comments about terms xvlogft\nabla_{x}\nabla_{v}\log f_{t} and vvlogft\nabla_{v}\nabla_{v}\log f_{t}. Unfortunately we cannot directly obtain uniform-in-time estimates about these terms, otherwise we would have

ddtNM(fNt|ftN)\displaystyle\frac{\mathrm{d}}{\mathrm{d}t}\mathcal{E}^{M}_{N}(f^{t}_{N}|f_{t}^{\otimes N})\leq c1N(Ω×d)NfNt|XlogfNtftN|2dZ\displaystyle-\frac{c^{\prime}_{1}}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\left|\nabla_{X}\log\frac{f^{t}_{N}}{f_{t}^{\otimes N}}\right|^{2}\mathrm{d}Z
c2N(Ω×d)NfNt|VlogfNtftN|2dZ\displaystyle-\frac{c^{\prime}_{2}}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\left|\nabla_{V}\log\frac{f^{t}_{N}}{f_{t}^{\otimes N}}\right|^{2}\mathrm{d}Z
+CN,\displaystyle+\frac{C}{N},

for some c1,c2,C>0c_{1}^{\prime},c_{2}^{\prime},C>0 and then finish the proof by Gronwall’s inequality. Uniform-in-time propagation of chaos can only be expected when the limiting PDE (1.7) has a unique equilibrium. Indeed, we obtain Theorem 1.3 under the assumptions in Theorem 1.2 and some assumption on WW which prevents the existence of multiple equilibria of Eq.(1.7). Similar arguments/estimates have also appeared in the first-order setting. For instance, the authors of [17] obtained Li-Yau type growth estimates of 2logρt\nabla^{2}\log\rho_{t} with respect to the position xx for any fixed time horizon in particular in the case of 2d Navier-Stokes equation, with a universal constant growing with time tt. Those type estimates are very useful when one treats the mean field limit problem set on the whole space [35, 8].

1.2 Main results and examples

Let us fix some notations first. We denote z=(x,v)Ω×dz=(x,v)\in\Omega\times\mathbb{R}^{d} as a phase space configuration of one particle, and X=(x1,,xN)X=(x_{1},...,x_{N}), V=(v1,,vN)V=(v_{1},...,v_{N}) and Z=(X,V)Z=(X,V) for configurations in position, velocity and phase space of NN particles, respectively. We also use that zi=(xi,vi)z_{i}=(x_{i},v_{i}) and Z=(X,V)=(z1,,zN)Z=(X,V)=(z_{1},...,z_{N}). As the same spirit, we write operator X=(x1,,xN)\nabla_{X}=(\nabla_{x_{1}},...,\nabla_{x_{N}}), V=(v1,,vN)\nabla_{V}=(\nabla_{v_{1}},...,\nabla_{v_{N}}) and ΔV=i=1NΔvi\Delta_{V}=\sum_{i=1}^{N}\Delta_{v_{i}}. Those are operators on dN\mathbb{R}^{dN}.

For two probability measures μ,ν\mu,\nu on Ω×d\Omega\times\mathbb{R}^{d}, we denote by Π(μ,ν)\Pi(\mu,\nu) theset of all couplings between μ\mu and ν\nu. We define L2L^{2} Wasserstein distance as

𝒲2(μ,ν)=(infπΠ(μ,ν)(Ω×d)2|z1z2|2dπ(z1,z2))1/2.\mathcal{W}_{2}(\mu,\nu)=\Big{(}\inf_{\pi\in\Pi(\mu,\nu)}\int_{(\Omega\times\mathbb{R}^{d})^{2}}|z_{1}-z_{2}|^{2}\mathrm{d}\pi(z_{1},z_{2})\Big{)}^{1/2}.

For a measure μ\mu and a positive integrable function ff such that Ω×df|logf|dμ<\int_{\Omega\times\mathbb{R}^{d}}f|\log f|\mathrm{d}\mu<\infty, we define the entropy of ff with respect to μ\mu as

Entμ(f)=Ω×dflogfdμ(Ω×dfdμ)log(Ω×dfdμ).Ent_{\mu}(f)=\int_{\Omega\times\mathbb{R}^{d}}f\log f\mathrm{d}\mu-\bigg{(}\int_{\Omega\times\mathbb{R}^{d}}f\mathrm{d}\mu\bigg{)}\log\left(\int_{\Omega\times\mathbb{R}^{d}}f\mathrm{d}\mu\right).

For two probability measures μ\mu and ν\nu, we define the relative entropy between μ\mu and ν\nu as

H(μ|ν)={Ω×dhloghdν, if μ<<ν and h=dμdν,+,otherwise,H(\mu|\nu)=\left\{\begin{aligned} &\int_{\Omega\times\mathbb{R}^{d}}h\log h\mathrm{d}\nu,&\mbox{ if \, }\mu<<\nu\mbox{ and }h=\frac{\mathrm{d}\mu}{\mathrm{d}\nu},\\ &+\infty,&\mbox{otherwise},\end{aligned}\right.

and the normalized version of relative entropy for probability measures μ\mu^{\prime} and ν\nu^{\prime} on (Ω×d)N(\Omega\times\mathbb{R}^{d})^{N} as

HN(μ|ν)=1NH(μ|ν).H_{N}(\mu^{\prime}|\nu^{\prime})=\frac{1}{N}H(\mu^{\prime}|\nu^{\prime}). (1.16)

We also define relative Fisher information between μ\mu and ν\nu as

IM(μ|ν)={Ω×dMh,hhdν, if μ<<ν and h=dμdν,+otherwise,I^{M}(\mu|\nu)=\left\{\begin{aligned} &\int_{\Omega\times\mathbb{R}^{d}}\frac{\langle M\nabla h,\nabla h\rangle}{h}\mathrm{d}\nu,&\mbox{ if \, }\mu<<\nu\mbox{ and }h=\frac{\mathrm{d}\mu}{\mathrm{d}\nu},\\ &+\infty&\ \ otherwise,\end{aligned}\right.

where M(z)M(z) is a positive definite matrix-valued function such that M(z)κIM(z)\geq\kappa I for some κ>0\kappa>0 independent on zΩ×dz\in\Omega\times\mathbb{R}^{d}. Similarly, the normalized version of relative Fisher information between two probability measures μ\mu^{\prime} and ν\nu^{\prime} on (Ω×d)N(\Omega\times\mathbb{R}^{d})^{N} reads as

INM(μ|ν)=1NIM(μ|ν).I^{M}_{N}(\mu^{\prime}|\nu^{\prime})=\frac{1}{N}I^{M}(\mu^{\prime}|\nu^{\prime}). (1.17)

We abuse the notation of probability measures fNf_{N} and ff as probability densities if they have densities. Finally, we give definitions of some functional inequalities that we will use in the following.

Definition 1.1.

(log-Sobolev inequality) We call that the probability measure μ\mu on Ω×d\Omega\times\mathbb{R}^{d} satisfies the log-Sobolev inequality if there exists some constant ρls(μ)>0\rho_{ls}(\mu)>0 such that for all smooth function gg with g2dμ=1\int g^{2}\mathrm{d}\mu=1, it holds that

Entμ(g2)ρls(μ)Ω×d(|xg|2+|vg|2)dμ.Ent_{\mu}(g^{2})\leq\rho_{ls}(\mu)\int_{\Omega\times\mathbb{R}^{d}}(|\nabla_{x}g|^{2}+|\nabla_{v}g|^{2})\mathrm{d}\mu. (1.18)
Definition 1.2.

(Weighted log-Sobolev inequality) Let H(z)H(z) be a smooth function on d×d\mathbb{R}^{d}\times\mathbb{R}^{d}. We call that the probability measure μ\mu on d×d\mathbb{R}^{d}\times\mathbb{R}^{d} satisfies the weighted log-Sobolev inequality with weight HH if there exists some constant θ>0,ρwls(μ)>0\theta>0,\rho_{wls}(\mu)>0 such that for all smooth function gg with g2dμ=1\int g^{2}\mathrm{d}\mu=1, it holds that

Entμ(g2)ρwls(μ)d×d(H2θ|xg|2+|vg|2)dμ.Ent_{\mu}(g^{2})\leq\rho_{wls}(\mu)\int_{\mathbb{R}^{d}\times\mathbb{R}^{d}}(H^{-2\theta}|\nabla_{x}g|^{2}+|\nabla_{v}g|^{2})\mathrm{d}\mu. (1.19)

In the following, we use ρls\rho_{ls} (ρwls\rho_{wls}) to denote the (weighted) log-Sobolev inequality constant of the equilibrium measure ff_{\infty} of the limiting PDE (1.7) and ρLS\rho_{LS} to denote the uniform-in-NN log-Sobolev inequality constant of the stationary measure fN,f_{N,\infty} of the Liouville equation (1.4).

Now we detail assumptions about interaction potential WW and confining potential VV.

Assumption 1.

Suppose that V(x)C2(Ω)V(x)\in C^{2}(\Omega) and there exist λ>0,M>0\lambda>0,M>0 such that V(x)λ|x|2MV(x)\geq\lambda|x|^{2}-M.

The first condition means that VV goes to infinity at infinity and is bounded below. It can be implied by

12V(x)x6λ(V(x)+x22)A,xΩ\frac{1}{2}\nabla V(x)\cdot x\geq 6\lambda(V(x)+\frac{x^{2}}{2})-A,\ \ x\in\Omega

for some A>0A>0. This expression implies that the force V-\nabla V drags particles back to some compact set. Detailed proof can be found in [20].

The second assumption implies that the potential VV grows at most quadratically on Ω\Omega.

Assumption 2.

Suppose that V(x)C2(Ω)V(x)\in C^{2}(\Omega) and there exists CV>0C_{V}>0 such that 2VLCV<\|\nabla^{2}V\|_{L^{\infty}}\leq C_{V}<\infty.

We also treat more general confining potentials when Ω=d\Omega=\mathbb{R}^{d}.

Assumption 3.

Suppose that V(x)C2(d)V(x)\in C^{2}(\mathbb{R}^{d}) and there exist θ>0\theta>0 and CVθC_{V}^{\theta} such that V2θ2VLCVθ<\|V^{-2\theta}\nabla^{2}V\|_{L^{\infty}}\leq C_{V}^{\theta}<\infty. Moreover, outside a compact domain on d\mathbb{R}^{d}, we assume that VV satisfies

(i)(i) ΔVκ1|V|2\Delta V\leq\kappa_{1}|\nabla V|^{2} for some κ1(0,1)\kappa_{1}\in(0,1);

(ii)(ii) |V|2κ2V2θ+1|\nabla V|^{2}\geq\kappa_{2}V^{2\theta+1} for some positive constant κ2>0\kappa_{2}>0.

Those conditions in Assumption 3 have been explored in [10] for kinetic Langevin process with confining potentials greater than quadratic growth at infinity. The boundedness of V2θ2VL\|V^{-2\theta}\nabla^{2}V\|_{L^{\infty}} extend the quadratic growth condition and the other two conditions guarantee the weighted log-Sobolev inequality of ff_{\infty} (See Section 2.3). We also use multiplier method developed in [10] to deal with this type of confining potentials.

Example 1.

Some important examples have been provided in [10]. The first kind of examples is V(x)=|x|k,k2V(x)=|x|^{k},k\geq 2. Then we have ΔxV=(dk+k22k)|x|k2\Delta_{x}V=(dk+k^{2}-2k)|x|^{k-2}, |xV|2=k2|x|2k2|\nabla_{x}V|^{2}=k^{2}|x|^{2k-2} and V2θ2VL|x|k2kθ2\|V^{-2\theta}\nabla^{2}V\|_{L^{\infty}}\sim|x|^{k-2k\theta-2}. Finally, we take θ=121k\theta=\frac{1}{2}-\frac{1}{k}. Then all conditions above can be satisfied.

Example 2.

Another kind of examples is V(x)=ea|x|kV(x)=e^{a|x|^{k}} provided in [10], which shows that the limit growth of VV must be below the exponential growth. Observing that ΔxVak2|x|2(k1)ea|x|k\Delta_{x}V\sim ak^{2}|x|^{2(k-1)}e^{a|x|^{k}}, |xV|2=a2k2e2a|x|k|\nabla_{x}V|^{2}=a^{2}k^{2}e^{2a|x|^{k}} and V2θ2VLea(12θ)|x|k\|V^{-2\theta}\nabla^{2}V\|_{L^{\infty}}\sim e^{a(1-2\theta)|x|^{k}}, the conditions above imply k<1k<1 and θ=12\theta=\frac{1}{2}.

Assumption 4.

Suppose that W(x)C2(Ω)W(x)\in C^{2}(\Omega) and there exists 0<CK<12λ0<C_{K}<\frac{1}{2}\lambda such that 2WLCK<\|\nabla^{2}W\|_{L^{\infty}}\leq C_{K}<\infty.

Assumption 5.

The mean field functional or the interaction energy F:𝒫2(d)F:\mathcal{P}_{2}(\mathbb{R}^{d})\rightarrow\mathbb{R} defined as

F(ρ)=Ω×ΩW(xy)dρ(x)dρ(y)F(\rho)=\int_{\Omega\times\Omega}W(x-y)\mathrm{d}\rho(x)\mathrm{d}\rho(y)

is functional convex, i.e. for every t[0,1]t\in[0,1] and every ν1,ν2𝒫2(d)\nu_{1},\nu_{2}\in\mathcal{P}_{2}(\mathbb{R}^{d}),

F((1t)ν1+tν2)(1t)F(ν1)+tF(ν2).F((1-t)\nu_{1}+t\nu_{2})\leq(1-t)F(\nu_{1})+tF(\nu_{2}). (1.20)
Example 3.

The harmonic interaction potential

W(x)=LW2|x|2W(x)=\frac{L_{W}}{2}|x|^{2}

with LWλ2L_{W}\leq\frac{\lambda}{2} is covered by Assumption 4. The mollified Coulomb potential when d=3d=3,

W(x)=a(|x|k+bk)1korW(x)=arctan(|x|/r0)1|x|W(x)=\frac{a}{(|x|^{k}+b^{k})^{\frac{1}{k}}}\ \ \ or\ \ W(x)=\arctan(|x|/r_{0})\frac{1}{|x|}

with some constant a,b>0a,b>0 or r0>0r_{0}>0. The later form satisfies Assumption 5 (See Section 3 in [12]).

Remark 1.

The harmonic interaction potential does not satisfy Assumption 5. Let us take

F(ρ)=Ω×Ω(xy)2dρ(x)dρ(y),F(\rho)=\int_{\Omega\times\Omega}(x-y)^{2}\mathrm{d}\rho(x)\mathrm{d}\rho(y),

then for t[0,1]t\in[0,1],

F((1t)ν1+tν2)(1t)F(ν1)+tF(ν2)\displaystyle F((1-t)\nu_{1}+t\nu_{2})\leq(1-t)F(\nu_{1})+tF(\nu_{2})
\displaystyle\Longleftrightarrow Ω×Ω(xy)2(dν1dν2)2(x,y)0\displaystyle\int_{\Omega\times\Omega}(x-y)^{2}(\mathrm{d}\nu_{1}-\mathrm{d}\nu_{2})^{\otimes 2}(x,y)\geq 0
\displaystyle\Longleftrightarrow 2(Ωx2dν1)(Ωx2dν2)(Ωx2dν1)2+(Ωx2dν2)2,\displaystyle 2\big{(}\int_{\Omega}x^{2}\mathrm{d}\nu_{1}\big{)}\big{(}\int_{\Omega}x^{2}\mathrm{d}\nu_{2}\big{)}\geq\big{(}\int_{\Omega}x^{2}\mathrm{d}\nu_{1}\big{)}^{2}+\big{(}\int_{\Omega}x^{2}\mathrm{d}\nu_{2}\big{)}^{2},

which does not hold in general.

With those specific statement of assumptions as above, we can now state our main results.

Theorem 1.1.

Suppose that VV satisfies Assumption 1 and 2, and WW satisfies Assumption 4 with CK<1C_{K}<1. Then for initial data fN0f_{N}^{0} of the Liouville equation (1.4) such that NM(fN0|fN,)<\mathcal{E}^{M}_{N}(f^{0}_{N}|f_{N,\infty})<\infty, we have

NM(fNt|fN,)ectNM(fN0|fN,),\mathcal{E}^{M}_{N}(f^{t}_{N}|f_{N,\infty})\leq e^{-ct}\mathcal{E}^{M}_{N}(f^{0}_{N}|f_{N,\infty}), (1.21)

where c=c(fN,,M)>0c=c(f_{N,\infty},M)>0 is explicit and independent of NN.

Remark 2.

We can choose matrix MM as the following

M=(EFFG),M=\left(\begin{array}[]{cc}E&F\\ F&G\end{array}\right),

where

E=diag{δa3,,δa3},F=diag{δa2,,δa2},G=diag{2δa,,2δa},E=\text{diag}\{\delta a^{3},...,\delta a^{3}\},\ \ \ F=\text{diag}\{\delta a^{2},...,\delta a^{2}\},\ \ \ G=\text{diag}\{2\delta a,...,2\delta a\},

and two constants aa and δ\delta satisfy

a2γCK+CV,δσ2(4+8aγ)2.a\leq\frac{2\gamma}{C_{K}+C_{V}},\ \ \ \delta\leq\frac{\sigma}{2(4+8a\gamma)^{2}}.

Then the constant cc can be taken as c=12(1+ρLS)min{32δa2,σ2}c=\frac{1}{2(1+\rho_{LS})}\min\{\frac{3}{2}\delta a^{2},\frac{\sigma}{2}\}. By the selection of δ\delta, we observe that cσc\sim\sigma, i.e. the larger diffusion strength we have, the faster convergence from fNtf_{N}^{t} to fN,f_{N,\infty}.

Our second contribution is the uniform-in-NN exponential convergence from fNf_{N} to fNf_{\infty}^{\otimes N}.

Theorem 1.2.

Suppose that VV and WW satisfy one of the following two cases,

(i) VV satisfies Assumption 1 and 2, WW satisfies Assumption 4;

(ii) VV satisfies Assumption 1 and 3, WW satisfies Assumption 4 and WL<\|\nabla W\|_{L^{\infty}}<\infty.

For the first case, we take M1M_{1} as a constant matrix, then for initial data fN0f_{N}^{0} of Eq.(1.4) such that NM1(fN0|fN)<\mathcal{E}_{N}^{M_{1}}(f^{0}_{N}|f^{\otimes N}_{\infty})<\infty and σσ1>0\sigma\geq\sigma^{\ast}_{1}>0, we have

HN(fNt|fN)NM1(fNt|fN)ec1tNM1(fN0|fN)+C1N,H_{N}(f^{t}_{N}|f_{\infty}^{\otimes N})\leq\mathcal{E}_{N}^{M_{1}}(f^{t}_{N}|f^{\otimes N}_{\infty})\leq e^{-c_{1}t}\mathcal{E}_{N}^{M_{1}}(f^{0}_{N}|f^{\otimes N}_{\infty})+\frac{C_{1}}{N}, (1.22)

where c1=c1(f,M1)>0c_{1}=c_{1}(f_{\infty},M_{1})>0 and C1=C1(f,σ,γ,CK,CV)>0C_{1}=C_{1}(f_{\infty},\sigma,\gamma,C_{K},C_{V})>0 are explicit and independent of NN.

For the second case, we take M2M_{2} as a matrix function on 2d\mathbb{R}^{2d}, then for initial data fN0f_{N}^{0} of Eq.(1.4) such that NM2(fN0|fN)<\mathcal{E}_{N}^{M_{2}}(f^{0}_{N}|f^{\otimes N}_{\infty})<\infty and σσ2>0\sigma\geq\sigma^{\ast}_{2}>0, we have

HN(fNt|fN)NM2(fNt|fN)ec2tNM2(fN0|fN)+C2N,H_{N}(f^{t}_{N}|f_{\infty}^{\otimes N})\leq\mathcal{E}_{N}^{M_{2}}(f^{t}_{N}|f^{\otimes N}_{\infty})\leq e^{-c_{2}t}\mathcal{E}_{N}^{M_{2}}(f^{0}_{N}|f^{\otimes N}_{\infty})+\frac{C_{2}}{N}, (1.23)

where c2=c2(f,M2),C2=C2(f,σ,γ,CK,CVθ)>0c_{2}=c_{2}(f_{\infty},M_{2}),C_{2}=C_{2}(f_{\infty},\sigma,\gamma,C_{K},C^{\theta}_{V})>0 are explicit and independent of NN.

Remark 3.

For the first case, we also choose M1M_{1} as in Remark 2, but two constants aa and δ\delta now should satisfy

{amin{2γCK+CV,14CK+2,γ5120eρls(CK+1)2},δσ4[8+a+28aγ+32a2γ2],\left\{\begin{aligned} &a\leq\min\Big{\{}\frac{2\gamma}{C_{K}+C_{V}},\frac{1}{4C_{K}+2},\frac{\gamma}{5120e\rho_{ls}(C_{K}+1)^{2}}\Big{\}},\\ &\delta\leq\frac{\sigma}{4[8+a+28a\gamma+32a^{2}\gamma^{2}]},\end{aligned}\right.

then the constant c1c_{1} can be taken as c1=δa216(ρls+1)c_{1}=\frac{\delta a^{2}}{16(\rho_{ls}+1)} which implies c1σc_{1}\sim\sigma, and the lower bound of diffusion constant σ1\sigma^{\ast}_{1} satisfies

σ1max{160[10+28γ+32γ2]ρlsea2γ,3200ρlseγ}CK2.\sigma_{1}^{\ast}\geq\max\bigg{\{}\frac{160[10+28\gamma+32\gamma^{2}]\rho_{ls}e}{a^{2}\gamma},3200\rho_{ls}e\gamma\bigg{\}}C_{K}^{2}.

For the second case, we choose M2M_{2} as

{E=diag{e(z1)Idd×d,,e(zN)Idd×d},F=diag{f(z1)Idd×d,,f(zN)Idd×d},G=diag{g(z1)Idd×d,,g(zN)Idd×d},\left\{\begin{aligned} &E=\text{diag}\{e(z_{1})Id_{d\times d},...,e(z_{N})Id_{d\times d}\},\\ &F=\text{diag}\{f(z_{1})Id_{d\times d},...,f(z_{N})Id_{d\times d}\},\\ &G=\text{diag}\{g(z_{1})Id_{d\times d},...,g(z_{N})Id_{d\times d}\},\end{aligned}\right.

where E,F,GE,F,G are Nd×NdNd\times Nd diagonal matrices. We choose e(z),f(z)e(z),f(z) and g(z)g(z) as

e(z)=δa3(H(z))3θ,b(z)=δa2(H(z))2θ,c(z)=2δa(H(z))θ,\begin{split}e(z)=\delta a^{3}(H(z))^{-3\theta},\ \ b(z)=\delta a^{2}(H(z))^{-2\theta},\ \ c(z)=2\delta a(H(z))^{-\theta},\end{split}

where

H(z)=v22+V(x)+H0,H0>0,H(z)=\frac{v^{2}}{2}+V(x)+H_{0},\ \ \ H_{0}>0,

and two constants aa and δ\delta satisfy

{amin{14CK+6θ+2,γCVθ+CK,γ6400eρwls(CK+1)2},δ3σ8+32CK+m2,\left\{\begin{aligned} &a\leq\min\Big{\{}\frac{1}{4C_{K}+6\theta+2},\frac{\gamma}{C_{V}^{\theta}+C_{K}},\frac{\gamma}{6400e\rho_{wls}(C_{K}+1)^{2}}\Big{\}},\\ &\delta\leq\frac{3\sigma}{8+32C_{K}+m_{2}^{\prime}},\end{aligned}\right.

where m2=[4+6γa+4aθ(2γ+WL)]2+a[6γ+θ(2γ+WL)]m_{2}^{\prime}=[4+6\gamma a+4a\theta(2\gamma+\|\nabla W\|_{L^{\infty}})]^{2}+a[6\gamma+\theta(2\gamma+\|\nabla W\|_{L^{\infty}})], then the constant c2c_{2} can be taken as c2=δa216(ρwls+1)c_{2}=\frac{\delta a^{2}}{16(\rho_{wls}+1)}, which implies c2σc_{2}\sim\sigma, and the lower bound of diffusion constant σ2\sigma^{\ast}_{2} satisfies

σ2max{800(40+m2′′)ρwlsea2γ,3200ρwlseγ}max{CK2,CK3},\sigma_{2}^{\ast}\geq\max\bigg{\{}\frac{800(40+m_{2}^{\prime\prime})\rho_{wls}e}{a^{2}\gamma},3200\rho_{wls}e\gamma\bigg{\}}\cdot\max\{C_{K}^{2},C_{K}^{3}\},

where m2′′=[4+6γ+4θ(2γ+WL)]2+[6γ+θ(2γ+WL)]m_{2}^{\prime\prime}=[4+6\gamma+4\theta(2\gamma+\|\nabla W\|_{L^{\infty}})]^{2}+[6\gamma+\theta(2\gamma+\|\nabla W\|_{L^{\infty}})].

Remark 4.

Theorem 1.2 implies that second order particle system (1.1) not only exponentially converges to its equilibrium, but also converges to the unique mean field equilibrium as NN\rightarrow\infty. If we take tt\rightarrow\infty, the results (1.22) and (1.23) imply that,

HN(fN,|fN)NMi(fN,|fN)CN,i=1,2,H_{N}(f_{N,\infty}|f^{\otimes N}_{\infty})\leq\mathcal{E}_{N}^{M_{i}}(f_{N,\infty}|f^{\otimes N}_{\infty})\leq\frac{C}{N},\ \ \ i=1,2,

which offers us a kind of dynamical approach to prove the concentration of the Gibbs or stationary measure of the second order particle system around the nonlinear equilibrium of the limiting equation (1.7).

Combining the exponential convergence from ftf_{t} to ff_{\infty}, we could replace ff_{\infty} by ftf_{t} in last theorem so that avoid the estimates about logft\nabla\log f_{t} and 2logft\nabla^{2}\log f_{t}. Based on this observation, we establish the uniform-in-time propagation of chaos both in the sense of the Wasserstein distance and relative entropy.

Theorem 1.3.

Suppose that VV and WW satisfy one of the following two cases,

(i) VV satisfies Assumption 1 and 2, WW satisfies Assumption 4. Moreover, we assume either CKC_{K} is small or interaction functional FF satisfies Assumption 5.

(ii) VV satisfies Assumption 1 and 3, WW satisfies Assumption 4 and WL<\|\nabla W\|_{L^{\infty}}<\infty. Moreover, we assume either CKC_{K} is small or interaction functional FF satisfies Assumption 5.

For the first case, for initial data fN0f_{N}^{0} of Eq.(1.4) such that NM1(fN0|fN)<\mathcal{E}_{N}^{M_{1}}(f^{0}_{N}|f^{\otimes N}_{\infty})<\infty, f0f^{0} of Eq.(1.7) such that M(f0|f^0)<\mathcal{E}^{M}(f_{0}|\hat{f}_{0})<\infty, and σσ1\sigma\geq\sigma_{1}^{\ast}, we have

𝒲22(fN,k,fk)C1kec1t+C1kN,\mathcal{W}_{2}^{2}(f_{N,k},f^{\otimes k})\leq C_{1}^{\prime}ke^{-c^{\prime}_{1}t}+C_{1}\frac{k}{N}, (1.24)

where c1=min{c,c1}>0c^{\prime}_{1}=\min\{c,c_{1}\}>0 and C1=C1(fN0,f0,f,ρLS)>0C^{\prime}_{1}=C^{\prime}_{1}(f_{N}^{0},f_{0},f_{\infty},\rho_{LS})>0 are explicit and independent of NN.

For the second case, for initial data fN0f_{N}^{0} of Eq.(1.4) such that NM2(fN0|fN)<\mathcal{E}_{N}^{M_{2}}(f^{0}_{N}|f^{\otimes N}_{\infty})<\infty, f0f^{0} of Eq.(1.7) such that M2(f0|f^0)<\mathcal{E}^{M_{2}^{\prime}}(f_{0}|\hat{f}_{0})<\infty, and σσ2\sigma\geq\sigma_{2}^{\ast}, we have

𝒲22(fN,k,fk)C2kec2t+C2kN,\mathcal{W}_{2}^{2}(f_{N,k},f^{\otimes k})\leq C_{2}^{\prime}ke^{-c^{\prime}_{2}t}+C_{2}\frac{k}{N}, (1.25)

where c2=min{c2,c2′′}>0c^{\prime}_{2}=\min\{c_{2},c_{2}^{\prime\prime}\}>0 and C2=C2(fN0,f0,f)>0C^{\prime}_{2}=C^{\prime}_{2}(f_{N}^{0},f_{0},f_{\infty})>0 are explicit and independent of NN.

Remark 5.

The constants C1C_{1}^{\prime} and C2C_{2}^{\prime} are taken as

C1\displaystyle C_{1}^{\prime} =(1+ρLS)[NM1(fN0|fN)+M(f0|f^0)],\displaystyle=(1+\rho_{LS})[\mathcal{E}_{N}^{M_{1}}(f^{0}_{N}|f^{\otimes N}_{\infty})+\mathcal{E}^{M}(f_{0}|\hat{f}_{0})],
C2\displaystyle C_{2}^{\prime} =NM2(fN0|fN)+M2(f0|f^0),\displaystyle=\mathcal{E}_{N}^{M_{2}}(f^{0}_{N}|f^{\otimes N}_{\infty})+\mathcal{E}^{M^{\prime}_{2}}(f_{0}|\hat{f}_{0}),

and c2′′,M2c_{2}^{\prime\prime},M_{2}^{\prime} can be found in Theorem 1.5.

Remark 6.

The main difference of assumptions in Theorem 1.3 compared with those in Theorem 1.2 is that CKC_{K} is small or the interaction functional FF is convex. Those two conditions make sure that ftf_{t} exponentially converges to ff_{\infty}. The small condition of CKC_{K} comes from Theorem 10 in [21], which obtains the exponential convergence from ftf_{t} to ff_{\infty} by uniform log Sobolev inequality of fN,f_{N,\infty}. The convexity condition of FF is inspired by Theorem 2.1 in [13], this kind of condition avoid the smallness assumption on CKC_{K}. We extend their result to more general confining potentials in the Appendix.

Remark 7.

The uniform-in-time propagation of chaos of second order particle system (1.1) has been investigated in [20] and [13]. Compared with [20] that exploits the coupling method, our result applies to more general confining potentials. In terms of Theorem 2.3 in [13], we do not need the uniform-in-mm log-Sobolev inequality of measure proportional to eδFδm(m,x)e^{-\frac{\delta F}{\delta m}(m,x)}, which is not very easy to verify.

1.3 Related literature

Hypocoercivity. Hypocoercivity is an important analytical tool to study the long time behavior of Langevin dynamics and the corresponding kinetic Fokker-Planck equation. It was initiated by Villani [37] and and then later advanced by Dolbeault, Mouhot and Schmeiser in [15] and [16]. However, those now well-known results are only restricted to the one particle dynamics without any interactions. For the NN particle system given by the Liouville equation (1.4), the natural stationary measure is simply the Gibbs measure given by the following form

fN,=1ZN,βeβH(z1,,zN).f_{N,\infty}=\frac{1}{Z_{N,\beta}}e^{-\beta H(z_{1},...,z_{N})}.

A natural problem is that whether or not the convergence rate from fNf_{N} toward fN,f_{N,\infty} depends on the number of particles NN. Many researchers have contributed to this problem. Guillin, etc study the uniform in NN functional inequalities in [21]. Guillin and Monmarché show uniform-in-NN exponential decay rate in [33] and [22] by “Generalized Γ\Gamma calculus” developed in [34] and uniform log-Sobolev inequality in [21]. Guillin, etc also use H1H^{1} type norm to show the uniform-in-NN exponential decay rate by hypocoercivity and uniform Poincaré inequality in [21]. These result are all restricted to potentials with smallness of 2UL\|\nabla^{2}U\|_{L^{\infty}}. There are also some results that treat systems with singular potentials. Baudoin, Gordina and Herzog showed convergence to equilibrium by Gamma calculus in [2] with singular potentials. Lu and Mattingly constructed new Lyapunov function to show egodicity for systems (1.1) with Coulomb potential in the sense of weighted total variation distance in [32]. However, the convergence rates, if they provides one, all depend on NN.

Propagation of chaos for kinetic Vlasov equation. The main result presented in this article is a further development of the relative entropy method introduced in [26], where Jabin and and the 2nd author proved a quantitative propagation of chaos for Newton’s system with bounded interaction kernel in terms of relative entropy. Lacker [30] then developed an approach based on the BBGKY hierarchy and the entropy dissipation to optimize the local convergence rate of kk-marginals towards the limiting law. Bresch, Jabin and Soler [6] exploited the BBGKY hierarchy approach to firstly include the 2d Vlasov-Possion-Fokker-Planck case. More recently, Bresch, Jabin and Duerinckx [5] introduced a duality approach to cover the arbitrary square-integrable interaction forces at possibly vanishing temperature. Up to now, the mean field limit or the propagation of chaos results are still very limited for second order particle system with singular interaction forces. See also for the results in [23, 24, 31, 7] and the review [25] for more detailed discussions.
For long time propagation of chaos, Monmarché showed uniform-in-time propagation of chaos in the sense of Wasserstein distance of one marginal for systems with convex potentials, i.e.

𝒲2(fN,1,f)CNα,\mathcal{W}_{2}(f_{N,1},f)\leq\frac{C}{N^{\alpha}},

for some contant α>0,C>0\alpha>0,C>0 independent on NN and tt. The sharp rate with α=12\alpha=\frac{1}{2} for the case W(x)=c|x|2W(x)=c|x|^{2} has also been established there. Guillin and Monmarché [22] later improved the convergence result to all marginals but without optimality in terms of of α\alpha, i.e.

𝒲2(fN,k,fk)CkNα,\mathcal{W}_{2}(f_{N,k},f^{\otimes k})\leq\frac{C\sqrt{k}}{N^{\alpha}},

for some contant α>0,C>0\alpha>0,C>0 independent on NN and tt. Thanks to the reflection coupling method, Guillin, Bris and Monmarché [20] proved the optimal convergence rate of NN for all marginals with convex or non-convex interaction potentials, i.e.

𝒲2(fN,k,fk)CkN,\mathcal{W}_{2}(f_{N,k},f^{\otimes k})\leq\frac{C\sqrt{k}}{\sqrt{N}},

for some constant C>0C>0 independent on NN and tt, with the smallness assumption of the Lipschitz constant of interaction force KK. Recently, Chen, Lin, Ren and Wang [13] showed uniform-in-time propagation of chaos with functional convexity condition. Even though they do not need smallness of KL\|\nabla K\|_{L^{\infty}} , they require some uniform-in-time Poincaré inequality for the solution of the limiting PDE (1.7) . To the best of our knowledge, there is no result of uniform-in-time propagation of chaos for second order systems with singular interaction forces yet. We leave this topic for our further study.

EquilibriumofVlasov-Fokker-Planckequation.Equilibrium\ of\ Vlasov\mbox{-}Fokker\mbox{-}Planck\ equation. Uniform-in-time propagation of chaos cannot hold in general. One critical obstacle is that the non-linear Vlasov-Fokker-Planck equation (1.7) may have multiple equilibria and hence exhibit phrase transition. The convergence from ftf_{t} towards ff_{\infty} prevents the phrase transition or the presence of multiple equilibria of the limiting system. There are some results about this kind of convergence but with very limited conditions about potentials. See for instance [14] and the reference therein. Villani [37] proved that ftf_{t} converge to the Maxwellian

1(2π)deβv22\frac{1}{(2\pi)^{d}}e^{-\beta\frac{v^{2}}{2}}

on 𝕋d\mathbb{T}^{d} with any polynomial order in the sense of L1L^{1} norm, which requires that WCW\in C^{\infty} and WL\|W\|_{L^{\infty}} is small enough. Guillin and Monmarché showed that ff converges to ff_{\infty} in the sense of “mean-field entropy” in [22], which defines as

HW(ν)=E(ν)infμ𝒫(Ω×d)E(μ)H_{W}(\nu)=E(\nu)-\inf_{\mu\in\mathcal{P}(\Omega\times\mathbb{R}^{d})}E(\mu) (1.26)

for probability measure ν\nu, where E(ν)=H(ν|α)+12F(ν)E(\nu)=H(\nu|\alpha)+\frac{1}{2}F(\nu) and αe12v2V(x)\alpha\propto e^{-\frac{1}{2}v^{2}-V(x)}. Baudoin, Feng and Li [3] established that ff converges to ff_{\infty} with exponential decay rate in the sense of free energy combining with “relative Fisher Information” (by our notation)

M(ft|f^t)=(ft)(f)+IM(ft|f^t),\mathcal{E}^{M}(f_{t}|\hat{f}_{t})=\mathcal{F}(f_{t})-\mathcal{F}(f_{\infty})+I^{M}(f_{t}|\hat{f}_{t}), (1.27)

where MM is a constant matrix and f^ev22V(x)Wρt\hat{f}\propto e^{-\frac{v^{2}}{2}-V(x)-W\ast\rho_{t}}. The free energy they used is defined as

(f)=12Ω×dv2fdxdv+Ω×dflogfdxdv+Ω×dVfdxdv+12F(f).\mathcal{F}(f)=\frac{1}{2}\int_{\Omega\times\mathbb{R}^{d}}v^{2}f\mathrm{d}x\mathrm{d}v+\int_{\Omega\times\mathbb{R}^{d}}f\log f\mathrm{d}x\mathrm{d}v+\int_{\Omega\times\mathbb{R}^{d}}Vf\mathrm{d}x\mathrm{d}v+\frac{1}{2}F(f). (1.28)

They used Γ\Gamma-calculus to overcome the dissipation degeneracy in xx direction with convexity and smallness of 2V\nabla^{2}V and 2W\nabla^{2}W. Chen, Lin, Ren and Wang also exploited the quantity (1.27) to prove M(ft|f^t)\mathcal{E}^{M}(f_{t}|\hat{f}_{t}) exponentially converges to 0 in [13] under conditions 2(Wρt+V)L<\|\nabla^{2}(W\ast\rho_{t}+V)\|_{L^{\infty}}<\infty and the functional convexity of FF (Assumption 5). These two groups both used the so called free energy to quantify the convergence from ftf_{t} to ff_{\infty}, i.e.

HW(ft)=(ft)(f).H_{W}(f_{t})=\mathcal{F}(f_{t})-\mathcal{F}({f_{\infty}}).

Finally, let us recall the convergence result in [21] and extend Theorem 2.1 in [13] to more general confining potentials. By [21], we have

Theorem 1.4.

Suppose that VV satisfies Assumption 1 and 2, WW satisfies Assumption 4. Suppose fN,f_{N,\infty} satisfies uniform log Sobolev inequality with constant ρLS\rho_{LS}. Then for the solution ftf_{t} of Eq.(1.7) with initial data f0f_{0} such that HW(f0)<H_{W}(f_{0})<\infty and Ω×dz2f0(z)dz<\int_{\Omega\times\mathbb{R}^{d}}z^{2}f_{0}(z)\mathrm{d}z<\infty, we have

HW(ft)ectHW(f0),H_{W}(f_{t})\leq e^{-ct}H_{W}(f_{0}),

and

𝒲22(ft,f)ρLSHW(ft)ρLSM(f0|f^0)ect.\mathcal{W}_{2}^{2}(f_{t},f_{\infty})\leq\rho_{LS}H_{W}(f_{t})\leq\rho_{LS}\mathcal{E}^{M}(f_{0}|\hat{f}_{0})e^{-ct}. (1.29)

where c>0c>0 is the same as Theorem 1.1.

We extend Theorem 2.1 in [13] to more general confining potentials,

Theorem 1.5.

Suppose that VV satisfies Assumption 1 and 3, WW satisfies Assumption 4 and Assumption 5. Then for solution ftf_{t} of Eq.(1.7) with initial data f0f_{0} such that M2(f0|f^0)<\mathcal{E}^{M_{2}^{\prime}}(f_{0}|\hat{f}_{0})<\infty, we have

𝒲22(ft,f)M(ft|f^t)ec2′′tM(f0|f^0),\mathcal{W}_{2}^{2}(f_{t},f_{\infty})\leq\mathcal{E}^{M}(f_{t}|\hat{f}_{t})\leq e^{-c^{\prime\prime}_{2}t}\mathcal{E}^{M}(f_{0}|\hat{f}_{0}), (1.30)

where c2′′=δa216+16ρwlsc^{\prime\prime}_{2}=\frac{\delta a^{2}}{16+16\rho_{wls}} with some choice of M2M_{2}^{\prime}, δ\delta and aa (detailed in the Appendix).

We will give the sketch of proofs of these two theorems in the Appendix.

1.4 Outline of the article

The paper is then organized as follow: In Section 2, we develop the basic tools we will use throughout this article. In Section 2.1, we introduce the normalized relative Fisher information and compute its time evolution under the kinetic dynamics (1.4) and (1.7). In Section 2.2, we select the nontrivial matrix MM for relative Fisher information to deal with the confining potentials greater than a quadratic function at infinity, where the crucial idea “entropy multipliers” is inspired by the one particle case as in [10]. In Section 2.3, we introduce the weighted log-Sobolev inequality, which is essentially obtained with the entropy multiplier method. In Section 2.4, we prove a new Law of Large Number estimates for systems with Lipschitz interaction force KK. In Section 3, we give the complete proof of our main results, Theorem 1.1, 1.2 and 1.3. In the Appendix, we prove the convergence from ff to ff_{\infty} under some conditions on VV and WW.

2 Preliminary

Let us define some linear operators in (Ω×d)N(\Omega\times\mathbb{R}^{d})^{N} we will use in this section. We denote A=(0,V)A=(0,\nabla_{V}) on (Ω×d)N(\Omega\times\mathbb{R}^{d})^{N} and Ai=(0,vi)A_{i}=(0,\nabla_{v_{i}}) on Ω×d\Omega\times\mathbb{R}^{d}. The operator BB collects all of one order part of the Liouville operator LNL_{N} in (1.5), i.e.

B=i=1NBi,Bi=vixixiUviγvivi,B=\sum_{i=1}^{N}B_{i},\ \ B_{i}=v_{i}\cdot\nabla_{x_{i}}-\nabla_{x_{i}}U\cdot\nabla_{v_{i}}-\gamma v_{i}\cdot\nabla_{v_{i}},

where UU is defined in (1.3). We write the infinitesimal generator of NN-particle system (1.1) as

LN=B+σΔV.L^{\ast}_{N}=B+\sigma\Delta_{V}. (2.1)

We recall the time evolution of the relative entropy as in [26, 28].

Lemma 1.

Assume that fNf_{N} is a solution of Eq.(1.4). Assume further that f(t,z)W1,(×Ω×d)f(t,z)\in W^{1,\infty}(\mathbb{R}\times\Omega\times\mathbb{R}^{d}) solves Eq.(1.7) with f(t,z)>0f(t,z)>0 and Ω×df(t,z)𝑑z=1\int_{\Omega\times\mathbb{R}^{d}}f(t,z)dz=1. Then

ddtHN(fN|fN¯)=\displaystyle\frac{d}{dt}H_{N}(f_{N}|\bar{f_{N}})= σN(Ω×d)NfN|VlogfNfN¯|2dZ\displaystyle-\frac{\sigma}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f_{N}\left|\nabla_{V}\log\frac{f_{N}}{\bar{f_{N}}}\right|^{2}\mathrm{d}Z (2.2)
1N(Ω×d)NVlogfNfN¯RN0dZ,\displaystyle-\frac{1}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}\nabla_{V}\log\frac{f_{N}}{\bar{f_{N}}}\cdot R^{0}_{N}\mathrm{d}Z,

where RN0R^{0}_{N} is a dNdN-dimensional vector defined as

RN0={1Nj=1,jiNK(xixj)Kρt(xi)}i=1NR^{0}_{N}=\bigg{\{}\frac{1}{N}\sum_{j=1,j\neq i}^{N}K(x_{i}-x_{j})-K\ast\rho_{t}(x_{i})\bigg{\}}_{i=1}^{N}

if we take fN¯=fN(t,Z)\bar{f_{N}}=f^{\otimes N}(t,Z), and the second line of (2.2) vanishes if we take fN¯=fN,\bar{f_{N}}=f_{N,\infty}.

Proof.

The computation is standard. We recommend [37] and [30] for the detailed computation when fN=fN,f_{N}=f_{N,\infty} and fNf^{\otimes N}. Using Young inequality when fN=fNf_{N}=f^{\otimes N}, we also have

ddtHN(fN|fN¯)\displaystyle\frac{d}{dt}H_{N}(f_{N}|\bar{f_{N}})\leq 3σ41N(Ω×d)NfN|VlogfNfN¯|2dZ\displaystyle-\frac{3\sigma}{4}\frac{1}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f_{N}\left|\nabla_{V}\log\frac{f_{N}}{\bar{f_{N}}}\right|^{2}\mathrm{d}Z
+4σ1N(Ω×d)N|RN0|2dZ.\displaystyle+\frac{4}{\sigma}\frac{1}{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}|R^{0}_{N}|^{2}\mathrm{d}Z.

In the next, we turn to the argument about Fisher information.

2.1 Hypocoercivity in entropy sense

In this subsection, we extend hypocoercivity in entropy sense in [37] to NN particle system with nontrivial interaction force. We also use more general reference measure in (Ω×d)N(\Omega\times\mathbb{R}^{d})^{N} —– invariant measure fN,f_{N,\infty} or NN times tensor product of limiting measure fNf^{\otimes N}, corresponding to uniform egodicity problem and uniform-in-time propagation of chaos problem.

In the following, we use notation h=fNfN¯h=\frac{f_{N}}{\bar{f_{N}}} and u=loghu=\log h for convenience, fN¯\bar{f_{N}} may take fN,f_{N,\infty} or fNf^{\otimes N}. Before tedious manipulations, we firstly derive the equation of uu.

Lemma 2.

Assume that fNf_{N} is a solution of Eq.(1.4), and assume that f(t,z)W2,(×Ω×d)f(t,z)\in W^{2,\infty}(\mathbb{R}\times\Omega\times\mathbb{R}^{d}) solves Eq.(1.7), then

tu=BuσAAu+σVlogfNAuR¯N,\partial_{t}u=-Bu-\sigma A^{\ast}Au+\sigma\nabla_{V}\log f_{N}\cdot Au-\overline{R}_{N}, (2.3)

where R¯N\overline{R}_{N} takes

R¯N=i=1Nvilogf(xi,vi){1Nj=1,jiNK(xixj)Kρ(xi)},\overline{R}_{N}=\sum_{i=1}^{N}\nabla_{v_{i}}\log f(x_{i},v_{i})\cdot\bigg{\{}\frac{1}{N}\sum_{j=1,j\neq i}^{N}K(x_{i}-x_{j})-K\star\rho(x_{i})\bigg{\}},

if fN¯=fN\bar{f_{N}}=f^{\otimes N} and R¯N=0\overline{R}_{N}=0 if fN¯=fN,\bar{f_{N}}=f_{N,\infty}.

Proof.

The proof is direct computation. In terms of Eq.(1.4), we have

tlogfN=BlogfN+σΔVfNfN+γNd,\partial_{t}\log f_{N}=-B\log f_{N}+\sigma\frac{\Delta_{V}f_{N}}{f_{N}}+\gamma Nd, (2.4)

and for Eq.(1.7), we have

tlogfN¯=BlogfN¯+σΔVfN¯fN¯+γNd+R¯N,\partial_{t}\log\bar{f_{N}}=-B\log\bar{f_{N}}+\sigma\frac{\Delta_{V}\bar{f_{N}}}{\bar{f_{N}}}+\gamma Nd+\overline{R}_{N}, (2.5)

we could understand R¯N\overline{R}_{N} as the difference of drift part between particle system (1.1) and McKean-Vlasov system (1.6). Combine Eq.(2.4) and Eq.(2.5), we have

tu=Bu+σ{ΔVfNfNΔVfN¯fN¯}R¯N,\partial_{t}u=-Bu+\sigma\left\{\frac{\Delta_{V}f_{N}}{f_{N}}-\frac{\Delta_{V}\bar{f_{N}}}{\bar{f_{N}}}\right\}-\overline{R}_{N}, (2.6)

using identity

ΔVFF=ΔVlogF+|VlogF|2,\frac{\Delta_{V}F}{F}=\Delta_{V}\log F+|\nabla_{V}\log F|^{2},

therefore, uu satisfies the equation

tu=Bu+σΔVu+σVlog(fNfN¯)VuR¯N,\partial_{t}u=-Bu+\sigma\Delta_{V}u+\sigma\nabla_{V}\log(f_{N}\bar{f_{N}})\cdot\nabla_{V}u-\overline{R}_{N}, (2.7)

recall A=(0,V)A=(0,\nabla_{V}), now we regard fN¯\bar{f_{N}} as reference measure and use Proposition 3 of [37], for vector function g:(Ω×d)NNdg:(\Omega\times\mathbb{R}^{d})^{N}\rightarrow\mathbb{R}^{Nd}, we have

Ag=AgVlogfN¯,g,A^{\ast}g=-A\cdot g-\langle\nabla_{V}\log\bar{f_{N}},g\rangle, (2.8)

now we rewrite Eq.(2.7) as following

tu=BuσAAu+σVlogfNAuR¯N,\partial_{t}u=-Bu-\sigma A^{\ast}Au+\sigma\nabla_{V}\log f_{N}\cdot Au-\overline{R}_{N},

we complete the proof. ∎

Remark 8.

For fN¯=fN\bar{f_{N}}=f^{\otimes N}, the conjugation relationship (2.8) is in a series of Hilbert space L2(fN¯)L^{2}(\bar{f_{N}}) depends on time tt whose associated measure satisfy Eq.(1.7). If we take reference measure as equilibrium of Eq.(1.4), then the equation about uu is the same as (2.7) but R¯N=0\overline{R}_{N}=0:

tu=BuσAAu+σVlogfNAu,\partial_{t}u=-Bu-\sigma A^{\ast}Au+\sigma\nabla_{V}\log f_{N}\cdot Au, (2.9)

this is why we start our computation from Eq.(2.3).

Now let us compute the time derivation of relative Fisher Information. We omit the integration domain (Ω×d)N(\Omega\times\mathbb{R}^{d})^{N} for convenience.

Lemma 3.

Assume that fNf_{N} is a solution of Eq.(1.4). Assume that f(t,z)W2,(×Ω×d)f(t,z)\in W^{2,\infty}(\mathbb{R}\times\Omega\times\mathbb{R}^{d}) solves Eq.(1.7) with f(t,z)>0f(t,z)>0 and Ω×df(t,z)𝑑z=1\int_{\Omega\times\mathbb{R}^{d}}f(t,z)dz=1. Let B,C,CB,C,C^{\prime} be linear differential operators on (Ω×d)N(\Omega\times\mathbb{R}^{d})^{N}, where

B=i=1NBi,Bi=vixixiUviγvivi,B=\sum_{i=1}^{N}B_{i},\ \ B_{i}=v_{i}\cdot\nabla_{x_{i}}-\nabla_{x_{i}}U\cdot\nabla_{v_{i}}-\gamma v_{i}\cdot\nabla_{v_{i}},

and C,CC,C^{\prime} are to be confirmed, then

ddt{fNCu,Cu}=fN[B,C]u,Cu+fNCu,[B,C]ufNCR¯N,CufNCu,CR¯N2σfNCAu,CAu+σQC,A+σQC,A,\begin{split}\frac{d}{dt}\left\{\int f_{N}\langle Cu,C^{\prime}u\rangle\right\}=&\ \int f_{N}\langle[B,C]u,C^{\prime}u\rangle+\int f_{N}\langle Cu,[B,C^{\prime}]u\rangle\\ &-\int f_{N}\langle C\overline{R}_{N},C^{\prime}u\rangle-\int f_{N}\langle Cu,C^{\prime}\overline{R}_{N}\rangle\\ &-2\sigma\int f_{N}\langle CAu,C^{\prime}Au\rangle+\sigma Q_{C,A}+\sigma Q_{C^{\prime},A},\end{split} (2.10)

where

QC,A=fN[C,A]Au,CufN[VlogfN¯A,C]u,CufN[C,A]u,AuCufN[A,C]u,CAu,\begin{split}Q_{C,A}=&-\int f_{N}\langle[C,A^{\ast}]Au,C^{\prime}u\rangle-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,C^{\prime}u\rangle\\ &-\int f_{N}\langle[C,A]u,Au\otimes C^{\prime}u\rangle-\int f_{N}\langle[A,C]u,C^{\prime}Au\rangle,\end{split} (2.11)
QC,A=fNCu,[C,A]AufNCu,[VlogfN¯A,C]ufNAuCu,[C,A]ufNCAu,[A,C]u.\begin{split}Q_{C^{\prime},A}=&-\int f_{N}\langle Cu,[C^{\prime},A^{\ast}]Au\rangle-\int f_{N}\langle Cu,[\nabla_{V}\log\bar{f_{N}}\cdot A,C^{\prime}]u\rangle\\ &-\int f_{N}\langle Au\otimes Cu,[C^{\prime},A]u\rangle-\int f_{N}\langle CAu,[A,C^{\prime}]u\rangle.\end{split} (2.12)
Remark 9.

BB is a dd-tuple differential operator, but C,CC,C^{\prime} are 2Nd2Nd-tuple differential operators. We denote CiC_{i} and CiC_{i}^{\prime} as (Cij)1iN,1jd(C_{i_{j}})_{1\leq i\leq N,1\leq j\leq d} and (Cij)1iN,1jd(C^{\prime}_{i_{j}})_{1\leq i\leq N,1\leq j\leq d} in the sense of coordinate zj=(xj,vj)z_{j}=(x_{j},v_{j}). We omit the index jj for convenience in the following, i.e. C=(Ci)1iNC=(C_{i})_{1\leq i\leq N} and C=(Ci)1iNC^{\prime}=(C^{\prime}_{i})_{1\leq i\leq N}. Each of them can be identified with a vector field DiD_{i}, in such a way that Cif=DifC_{i}f=D_{i}\cdot\nabla f, so DD can be seen as a map valued in (2Nd×2Nd)(2Nd\times 2Nd) matrix. The inner products above should be understood as Cu,Cu=i=1NCiu,Ciu2d\langle Cu,C^{\prime}u\rangle=\sum_{i=1}^{N}\langle C_{i}u,C_{i}^{\prime}u\rangle_{\mathbb{R}^{2d}}, CAu,CAu=i,j=1NCiAju,CiAju2d×2d\langle CAu,C^{\prime}Au\rangle=\sum_{i,j=1}^{N}\langle C_{i}A_{j}u,C_{i}^{\prime}A_{j}u\rangle_{\mathbb{R}^{2d\times 2d}}.

Remark 10.

Let us explain the commutators we use. [B,C][B,C] is a 2Nd2Nd-tuple operator, understood as [B,C]ij=[B,Cij][B,C]_{i_{j}}=[B,C_{i_{j}}]. But [C,A][C,A] is a operator with 2Nd×2Nd2Nd\times 2Nd components, understood as [C,A]ij=[Ci,Aj][C,A]_{ij}=[C_{i},A_{j}], and others follow. If C,CC,C^{\prime} are commutative with AA, the only nontrivial operators are [C,A][C,A^{\ast}] and [VlogfN¯A,C][\nabla_{V}\log\bar{f_{N}}\cdot A,C], we will compute them later.

Proof.

Step1.Step1. In this step, we claim

ddtfNCu,Cu=fN[B,C]u,Cu+fNCu,[B,C]ufNCR¯N,CufNCu,CR¯N+σQσ,\begin{split}\frac{d}{dt}\int f_{N}\langle Cu,C^{\prime}u\rangle=&\int f_{N}\langle[B,C]u,C^{\prime}u\rangle+\int f_{N}\langle Cu,[B,C^{\prime}]u\rangle\\ &-\int f_{N}\langle C\overline{R}_{N},C^{\prime}u\rangle-\int f_{N}\langle Cu,C^{\prime}\overline{R}_{N}\rangle+\sigma Q_{\sigma},\end{split} (2.13)

here QσQ_{\sigma} collects all terms with coefficient σ\sigma and reads as

Qσ=fNΔVCu,CufNCAAu,Cu+fNC(VlogfNAu),CufNCu,CAAu+fNCu,C(VlogfNAu).\begin{split}Q_{\sigma}=&\int f_{N}\Delta_{V}\langle Cu,C^{\prime}u\rangle\\ &-\int f_{N}\langle CA^{\ast}Au,C^{\prime}u\rangle+\int f_{N}\langle C(\nabla_{V}\log f_{N}\cdot Au),C^{\prime}u\rangle\\ &-\int f_{N}\langle Cu,C^{\prime}A^{\ast}Au\rangle+\int f_{N}\langle Cu,C^{\prime}(\nabla_{V}\log f_{N}\cdot Au)\rangle.\end{split} (2.14)

There terms comes from diffusion part of Eq.(1.4) and Eq.(1.7), we will deal with them in next step.

We directly take derivative and split into three terms:

ddtfNCu,Cu=tfNCu,Cu+fNC(tu),Cu+fNCu,C(tu).\begin{split}\frac{d}{dt}\int f_{N}\langle Cu,C^{\prime}u\rangle=&\int\partial_{t}f_{N}\langle Cu,C^{\prime}u\rangle\\ &+\int f_{N}\langle C(\partial_{t}u),C^{\prime}u\rangle+\int f_{N}\langle Cu,C^{\prime}(\partial_{t}u)\rangle.\end{split} (2.15)

For the first term, we use Eq.(1.4) and integral by parts,

tfNCu,Cu=LNfNCu,Cu=fN(BCu,Cu)+σfN(ΔVCu,Cu)=fNBCu,Cu+fNCu,BCu+σfN(ΔVCu,Cu).\begin{split}\int\partial_{t}f_{N}\langle Cu,C^{\prime}u\rangle=&\int-L_{N}f_{N}\langle Cu,C^{\prime}u\rangle\\ =&\int f_{N}(B\langle Cu,C^{\prime}u\rangle)+\sigma\int f_{N}(\Delta_{V}\langle Cu,C^{\prime}u\rangle)\\ =&\int f_{N}\langle BCu,C^{\prime}u\rangle+\int f_{N}\langle Cu,BC^{\prime}u\rangle+\sigma\int f_{N}(\Delta_{V}\langle Cu,C^{\prime}u\rangle).\end{split} (2.16)

For second term,

fNC(tu),Cu=fNC(Bu),CufNCRN,CuσfNCAAu,Cu+σfNC(VlogfNAu),Cu.\begin{split}\int f_{N}\langle C(\partial_{t}u),C^{\prime}u\rangle=&-\int f_{N}\langle C(Bu),C^{\prime}u\rangle-\int f_{N}\langle CR_{N},C^{\prime}u\rangle\\ &-\sigma\int f_{N}\langle CA^{\ast}Au,C^{\prime}u\rangle+\sigma\int f_{N}\langle C(\nabla_{V}\log f_{N}\cdot Au),C^{\prime}u\rangle.\end{split} (2.17)

Similarly, for third term,

fNCu,C(tu)=fNCu,C(Bu)fNCu,CRNσfNCu,CAAu+σfNCu,C(VlogfNAu).\begin{split}\int f_{N}\langle Cu,C^{\prime}(\partial_{t}u)\rangle=&-\int f_{N}\langle Cu,C^{\prime}(Bu)\rangle-\int f_{N}\langle Cu,C^{\prime}R_{N}\rangle\\ &-\sigma\int f_{N}\langle Cu,C^{\prime}A^{\ast}Au\rangle+\sigma\int f_{N}\langle Cu,C^{\prime}(\nabla_{V}\log f_{N}\cdot Au)\rangle.\end{split} (2.18)

Combine (2.16), (2.17), (2.18), we complete the claim in this step.

Step2.Step2. In this step, we deal with the diffusion part, we claim

Qσ=2fNCAu,CAu+QC,A+QC,A,Q_{\sigma}=-2\int f_{N}\langle CAu,C^{\prime}Au\rangle+Q_{C,A}+Q_{C^{\prime},A}, (2.19)

where

QC,A=fN[C,A]u,AuCufN[A,C]u,CAufN[C,A]Au,CufN[VlogfN¯A,C]u,Cu,\begin{split}Q_{C,A}=&-\int f_{N}\langle[C,A]u,Au\otimes C^{\prime}u\rangle-\int f_{N}\langle[A,C]u,C^{\prime}Au\rangle\\ &-\int f_{N}\langle[C,A^{\ast}]Au,C^{\prime}u\rangle-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,C^{\prime}u\rangle,\end{split} (2.20)
QC,A=fNAuCu,[C,A]ufNCAu,[A,C]ufNCu,[C,A]AufNCu,[VlogfN¯A,C]u.\begin{split}Q_{C^{\prime},A}=&-\int f_{N}\langle Au\otimes Cu,[C^{\prime},A]u\rangle-\int f_{N}\langle CAu,[A,C^{\prime}]u\rangle\\ &-\int f_{N}\langle Cu,[C^{\prime},A^{\ast}]Au\rangle-\int f_{N}\langle Cu,[\nabla_{V}\log\bar{f_{N}}\cdot A,C^{\prime}]u\rangle.\end{split} (2.21)

The terms QC,AQ_{C,A} and QC,AQ_{C^{\prime},A} collect all terms including commutators, we will take suitable operators CC and CC^{\prime} to simplify these commutators.

For the first term of (2.14), we use integral by parts with respect to Lebesgue measure,

ΔVfNCu,Cu=fNAuACu,CufNVlogfN¯ACu,Cu¯.\begin{split}&\int\Delta_{V}f_{N}\langle Cu,C^{\prime}u\rangle\\ =&-\int f_{N}Au\cdot A\langle Cu,C^{\prime}u\rangle\underline{-\int f_{N}\nabla_{V}\log\bar{f_{N}}\cdot A\langle Cu,C^{\prime}u\rangle}.\end{split} (2.22)

Recall we denote A=(0,V)A=(0,\nabla_{V}), we continue the first term of (2.22)

fNAuACu,Cu=fNACu,AuCufNAuCu,ACu=fNCAu,AuCufNAuCu,CAufN[C,A]u,AuCufNAuCu,[C,A]u.\begin{split}&-\int f_{N}Au\cdot A\langle Cu,C^{\prime}u\rangle\\ =&-\int f_{N}\langle ACu,Au\otimes C^{\prime}u\rangle-\int f_{N}\langle Au\otimes Cu,AC^{\prime}u\rangle\\ =&-\int f_{N}\langle CAu,Au\otimes C^{\prime}u\rangle-\int f_{N}\langle Au\otimes Cu,C^{\prime}Au\rangle\\ &-\int f_{N}\langle[C,A]u,Au\otimes C^{\prime}u\rangle-\int f_{N}\langle Au\otimes Cu,[C^{\prime},A]u\rangle.\end{split} (2.23)

Let us explain the notation we use: ACu,AuCu\langle ACu,Au\otimes C^{\prime}u\rangle should be understood as

i,j=1NCiAju,Aju,Ciu,\sum_{i,j=1}^{N}\left\langle C_{i}A_{j}u,\langle A_{j}u,C^{\prime}_{i}u\rangle\right\rangle,

and

[C,A]u,AuCu=i,j=1N[Ci,Aj]u,Aju,Ciu.\langle[C,A]u,Au\otimes C^{\prime}u\rangle=\sum_{i,j=1}^{N}\langle[C_{i},A_{j}]u,\langle A_{j}u,C^{\prime}_{i}u\rangle\rangle.

Moreover, we take the conjugate operator of [C,A][C,A] w.r.t measure fN¯\bar{f_{N}}, we have

fN[C,A]u,AuCu=fN[C,A]AuCu=i,j=1NfN[Ci,Aj]Aju,Ciu.\begin{split}-\int f_{N}\langle[C,A]u,Au\otimes C^{\prime}u\rangle=&-\int f_{N}[C,A]^{\ast}\langle Au\otimes C^{\prime}u\rangle\\ =&-\sum_{i,j=1}^{N}\int f_{N}[C_{i},A_{j}]^{\ast}\langle A_{j}u,C^{\prime}_{i}u\rangle.\end{split} (2.24)

For the second term of (2.14), we rewrite it as

fNCAAu,Cu=fNACAu,CufN[C,A]Au,Cu,\begin{split}&-\int f_{N}\langle CA^{\ast}Au,C^{\prime}u\rangle\\ =&-\int f_{N}\langle A^{\ast}CAu,C^{\prime}u\rangle-\int f_{N}\langle[C,A^{\ast}]Au,C^{\prime}u\rangle,\end{split}

and

fNACAu,Cu=fN¯ACAu,Ch=fN¯CAu,ACh=fN¯CAu,AhCu=fNCAu,ACufNCAu,AuCu,\begin{split}-\int f_{N}\langle A^{\ast}CAu,C^{\prime}u\rangle=&-\int\bar{f_{N}}\langle A^{\ast}CAu,C^{\prime}h\rangle\\ =&-\int\bar{f_{N}}\langle CAu,AC^{\prime}h\rangle\\ =&-\int\bar{f_{N}}\langle CAu,AhC^{\prime}u\rangle\\ =&-\int f_{N}\langle CAu,AC^{\prime}u\rangle-\int f_{N}\langle CAu,Au\otimes C^{\prime}u\rangle,\end{split}

then we have

fNCAAu,Cu=fNCAu,CAufNCAu,[A,C]ufN[C,A]Au,CufNCAu,AuCu.\begin{split}-\int f_{N}\langle CA^{\ast}Au,C^{\prime}u\rangle=&-\int f_{N}\langle CAu,C^{\prime}Au\rangle-\int f_{N}\langle CAu,[A,C^{\prime}]u\rangle\\ &-\int f_{N}\langle[C,A^{\ast}]Au,C^{\prime}u\rangle-\int f_{N}\langle CAu,Au\otimes C^{\prime}u\rangle.\end{split} (2.25)

Similarly, for the fourth term of (2.14), up to the exchange of CC and CC^{\prime}, we have

fNCu,CAAu=fNCAu,CAufN[A,C]u,CAufNCu,[C,A]AufNAuCu,CAu.\begin{split}-\int f_{N}\langle Cu,C^{\prime}A^{\ast}Au\rangle=&-\int f_{N}\langle CAu,C^{\prime}Au\rangle-\int f_{N}\langle[A,C]u,C^{\prime}Au\rangle\\ &-\int f_{N}\langle Cu,[C^{\prime},A^{\ast}]Au\rangle-\int f_{N}\langle Au\otimes Cu,C^{\prime}Au\rangle.\end{split} (2.26)

Finally, all of left terms are third and fifth term in (2.14) and underlined term in (2.22), we collect them as below,

fNVlogfN¯ACu,Cu+fNC(VlogfNAu),Cu+fNCu,C(VlogfNAu).\begin{split}&-\int f_{N}\nabla_{V}\log\bar{f_{N}}\cdot A\langle Cu,C^{\prime}u\rangle\\ &+\int f_{N}\langle C(\nabla_{V}\log f_{N}\cdot Au),C^{\prime}u\rangle\\ &+\int f_{N}\langle Cu,C^{\prime}(\nabla_{V}\log f_{N}\cdot Au)\rangle.\end{split} (2.27)

We deal with the first term of (2.27) as following,

fNVlogfN¯ACu,Cu=fNVlogfN¯A(Cu),CufNCu,VlogfN¯A(Cu)=fNC(VlogfN¯Au),CufN[VlogfN¯A,C]u,CufNCu,C(VlogfN¯Au)fNCu,[VlogfN¯A,C]u,\begin{split}&-\int f_{N}\nabla_{V}\log\bar{f_{N}}\cdot A\langle Cu,C^{\prime}u\rangle\\ =&-\int f_{N}\langle\nabla_{V}\log\bar{f_{N}}\cdot A(Cu),C^{\prime}u\rangle-\int f_{N}\langle Cu,\nabla_{V}\log\bar{f_{N}}\cdot A(C^{\prime}u)\rangle\\ =&-\int f_{N}\langle C(\nabla_{V}\log\bar{f_{N}}\cdot Au),C^{\prime}u\rangle-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,C^{\prime}u\rangle\\ &-\int f_{N}\langle Cu,C^{\prime}(\nabla_{V}\log\bar{f_{N}}\cdot Au)\rangle-\int f_{N}\langle Cu,[\nabla_{V}\log\bar{f_{N}}\cdot A,C^{\prime}]u\rangle,\end{split} (2.28)

combine with the last two term of (2.27), we have

fNVlogfN¯ACu,Cu+fNC(VlogfNAu),Cu+fNCu,C(VlogfNAu)=fNC|Au|2,Cu+fNCu,C|Au|2fN[VlogfN¯A,C]u,CufNCu,[VlogfN¯A,C]u=2fNCAu,AuCu+2fNAuCu,CAufN[VlogfN¯A,C]u,CufNCu,[VlogfN¯A,C]u.\begin{split}&-\int f_{N}\nabla_{V}\log\bar{f_{N}}\cdot A\langle Cu,C^{\prime}u\rangle\\ &+\int f_{N}\langle C(\nabla_{V}\log f_{N}\cdot Au),C^{\prime}u\rangle\\ &+\int f_{N}\langle Cu,C^{\prime}(\nabla_{V}\log f_{N}\cdot Au)\rangle\\ =&\int f_{N}\langle C|Au|^{2},C^{\prime}u\rangle+\int f_{N}\langle Cu,C^{\prime}|Au|^{2}\rangle\\ &-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,C^{\prime}u\rangle-\int f_{N}\langle Cu,[\nabla_{V}\log\bar{f_{N}}\cdot A,C^{\prime}]u\rangle\\ =&2\int f_{N}\langle CAu,Au\otimes C^{\prime}u\rangle+2\int f_{N}\langle Au\otimes Cu,C^{\prime}Au\rangle\\ &-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,C^{\prime}u\rangle-\int f_{N}\langle Cu,[\nabla_{V}\log\bar{f_{N}}\cdot A,C^{\prime}]u\rangle.\end{split} (2.29)

After gathering (2.23), (2.25), (2.26) and (2.29), we find

2fNCAu,CAufN[C,A]u,AuCufNAuCu,[C,A]ufN[A,C]u,CAufNCAu,[A,C]ufN[C,A]Au,CufNCu,[C,A]AufN[VlogfN¯A,C]u,CufNCu,[VlogfN¯A,C]u.\begin{split}&-2\int f_{N}\langle CAu,C^{\prime}Au\rangle\\ &-\int f_{N}\langle[C,A]u,Au\otimes C^{\prime}u\rangle-\int f_{N}\langle Au\otimes Cu,[C^{\prime},A]u\rangle\\ &-\int f_{N}\langle[A,C]u,C^{\prime}Au\rangle-\int f_{N}\langle CAu,[A,C^{\prime}]u\rangle\\ &-\int f_{N}\langle[C,A^{\ast}]Au,C^{\prime}u\rangle-\int f_{N}\langle Cu,[C^{\prime},A^{\ast}]Au\rangle\\ &-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,C^{\prime}u\rangle-\int f_{N}\langle Cu,[\nabla_{V}\log\bar{f_{N}}\cdot A,C^{\prime}]u\rangle.\end{split} (2.30)

Based on the conjugate rule (2.24) for all similar terms, we complete the proof. ∎

Corollary 1.

Let f¯N=fN\bar{f}_{N}=f^{\otimes N}, if AA is commutative with CC and CC^{\prime}, we have

QC,A=2i=1NfN(Civilogf)Aiu,Ciu2d,Q_{C,A}=2\sum_{i=1}^{N}\int f_{N}(C_{i}\nabla_{v_{i}}\log f)\langle A_{i}u,C_{i}u\rangle_{\mathbb{R}^{2d}}, (2.31)

and

QC,A=2i=1NfN(Civilogf)Aiu,Ciu2d.Q_{C^{\prime},A}=2\sum_{i=1}^{N}\int f_{N}(C^{\prime}_{i}\nabla_{v_{i}}\log f)\langle A_{i}u,C^{\prime}_{i}u\rangle_{\mathbb{R}^{2d}}. (2.32)
Proof.

We recall that

QC,A=fN[C,A]Au,CufN[VlogfN¯A,C]u,Cu.Q_{C,A}=-\int f_{N}\langle[C,A^{\ast}]Au,C^{\prime}u\rangle-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,C^{\prime}u\rangle. (2.33)

For the second term of (2.33), we direct compute the commutator [VlogfN¯A,C][\nabla_{V}\log\bar{f_{N}}\cdot A,C], i.e.

fN[VlogfN¯A,C]u,Cu=i,j=1NfN[vjlogfN¯Aj,Ci]u,Ciu=i,j=1NfNCivjlogfN¯,AjuCiu=i=1NfN(Civilogf)Aiu,Ciu2d,\begin{split}&-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,C^{\prime}u\rangle\\ =&-\sum_{i,j=1}^{N}\int f_{N}\langle[\nabla_{v_{j}}\log\bar{f_{N}}\cdot A_{j},C_{i}]u,C^{\prime}_{i}u\rangle\\ =&\sum_{i,j=1}^{N}\int f_{N}\langle C_{i}\nabla_{v_{j}}\log\bar{f_{N}},A_{j}u\otimes C_{i}^{\prime}u\rangle\\ =&\sum_{i=1}^{N}\int f_{N}(C_{i}\nabla_{v_{i}}\log f)\langle A_{i}u,C_{i}u\rangle_{\mathbb{R}^{2d}},\end{split}

by CivjlogfN¯=0C_{i}\nabla_{v_{j}}\log\bar{f_{N}}=0 if iji\neq j. For the first term of (2.33), we understand the commutator [C,A][C,A^{\ast}] as the row of operators

[C,A]=([C1,A],,[CN,A]),[C,A^{\ast}]=([C_{1},A^{\ast}],...,[C_{N},A^{\ast}]), (2.34)

then we have

fN[C,A]Au,Cu=i=1NfN[Ci,A]Au,Ciu=i=1NfNCi(AAu)A(CiAu),Ciu,\begin{split}&-\int f_{N}\langle[C,A^{\ast}]Au,C^{\prime}u\rangle\\ =&-\sum_{i=1}^{N}\int f_{N}\langle[C_{i},A^{\ast}]Au,C_{i}^{\prime}u\rangle\\ =&-\sum_{i=1}^{N}\int f_{N}\langle C_{i}(A^{\ast}Au)-A^{\ast}(C_{i}Au),C^{\prime}_{i}u\rangle,\end{split} (2.35)

here we understand CiAuC_{i}Au as a NN-tuple vector reads as (CiA1u,,CiANu)(C_{i}A_{1}u,...,C_{i}A_{N}u), which can be operated by AA^{\ast}. Recall

Ag=AgVlogfN¯,g,A^{\ast}g=-A\cdot g-\langle\nabla_{V}\log\bar{f_{N}},g\rangle,

then we have

fN[C,A]Au,Cu=i,j=1Nk,l=1dfN{CilAjkAjku+Cil{(vjklogfN¯)(Ajku)},Cilu}i,j=1Nk,l=1dfN{AjkCilAjku+{(vjklogfN¯)(CilAjku)},Cilu}=i=1NfN(Civilogf)Aiu,Ciu2d.\begin{split}&-\int f_{N}\langle[C,A^{\ast}]Au,C^{\prime}u\rangle\\ =&\sum_{i,j=1}^{N}\sum_{k,l=1}^{d}\int f_{N}\left\{\langle C_{i_{l}}A_{j_{k}}A_{j_{k}}u+C_{i_{l}}\{(\nabla_{v_{j_{k}}}\log\bar{f_{N}})(A_{j_{k}}u)\},C^{\prime}_{i_{l}}u\rangle\right\}\\ &-\sum_{i,j=1}^{N}\sum_{k,l=1}^{d}\int f_{N}\left\{\langle A_{j_{k}}C_{i_{l}}A_{j_{k}}u+\{(\nabla_{v_{j_{k}}}\log\bar{f_{N}})(C_{i_{l}}A_{j_{k}}u)\},C^{\prime}_{i_{l}}u\rangle\right\}\\ =&\sum_{i=1}^{N}\int f_{N}(C_{i}\nabla_{v_{i}}\log f)\langle A_{i}u,C^{\prime}_{i}u\rangle_{\mathbb{R}^{2d}}.\end{split} (2.36)

Up to change the position of CC and CC^{\prime}, we complete the proof. ∎

2.2 Entropy multipliers

In order to deal with more general potentials VV and WW, we develop the method of entropy multipliers for NN-particle relative Fisher information. We recommend Part 1, section 8 in [37] and [10] for “one particle version” without interaction potentials, and they only consider the invariant measure of single particle Fokker Planck equation as reference measure. Now let us consider a 2Nd×2Nd2Nd\times 2Nd weight matrix M(t,Z)M(t,Z) to distort the relative Fisher Information, i.e.

1NfNCu,MtCu𝑑Z,\frac{1}{N}\int f_{N}\langle Cu,M_{t}C^{\prime}u\rangle dZ,

we evolve this quantity along time tt in the following lemma, many ideas of manipulation are similar with Lemma 3.

Lemma 4.

Assume that fNf_{N} is a solution of Eq.(1.4). Assume that f(t,z)W1,(×Ω×d)f(t,z)\in W^{1,\infty}(\mathbb{R}\times\Omega\times\mathbb{R}^{d}) solves Eq.(1.7) with f(t,z)>0f(t,z)>0 and Ω×df(t,z)𝑑z=1\int_{\Omega\times\mathbb{R}^{d}}f(t,z)dz=1. Let B,C,CB,C,C^{\prime} be differential operators on (Ω×d)N(\Omega\times\mathbb{R}^{d})^{N}, where

B=i=1NBi,Bi=vixixiUviγvivi,B=\sum_{i=1}^{N}B_{i},\ \ B_{i}=v_{i}\cdot\nabla_{x_{i}}-\nabla_{x_{i}}U\cdot\nabla_{v_{i}}-\gamma v_{i}\cdot\nabla_{v_{i}},

and C,CC,C^{\prime} are to be confirmed. Let Mt(Z):×(Ω×d)N2Nd×2NdM_{t}(Z):\mathbb{R}\times(\Omega\times\mathbb{R}^{d})^{N}\rightarrow\mathbb{R}^{2Nd\times 2Nd} be a matrix valued function smooth enough for all variables, then

ddt{fNCu,MtCu}=fNMt[B,C]u,Cu+fNCu,Mt[B,C]ufNCR¯N,MtCufNMtCu,CR¯N2σfNCAu,MtCAu+σQC,A+σQC,A+fNCu,(tMt+BMt+σΔVMt)Cu,\begin{split}\frac{d}{dt}\left\{\int f_{N}\langle Cu,M_{t}C^{\prime}u\rangle\right\}=&\ \int f_{N}\langle M_{t}[B,C]u,C^{\prime}u\rangle+\int f_{N}\langle Cu,M_{t}[B,C^{\prime}]u\rangle\\ &-\int f_{N}\langle C\overline{R}_{N},M_{t}C^{\prime}u\rangle-\int f_{N}\langle M_{t}Cu,C^{\prime}\overline{R}_{N}\rangle\\ &-2\sigma\int f_{N}\langle CAu,M_{t}C^{\prime}Au\rangle+\sigma Q_{C,A}+\sigma Q_{C^{\prime},A}\\ &+\int f_{N}\langle Cu,(\partial_{t}M_{t}+BM_{t}+\sigma\Delta_{V}M_{t})C^{\prime}u\rangle,\end{split} (2.37)

where

QC,A=fN[C,A]Au,MtCufN[VlogfN¯A,C]u,MtCufN[C,A]u,AuMtCufNMt[A,C]u,CAu+fN[A,C]u,(AMt)Cu,\begin{split}Q_{C,A}=&-\int f_{N}\langle[C,A^{\ast}]Au,M_{t}C^{\prime}u\rangle-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,M_{t}C^{\prime}u\rangle\\ &-\int f_{N}\langle[C,A]u,Au\otimes M_{t}C^{\prime}u\rangle-\int f_{N}\langle M_{t}[A,C]u,C^{\prime}Au\rangle\\ &+\int f_{N}\langle[A,C]u,(AM_{t})C^{\prime}u\rangle,\end{split} (2.38)
QC,A=fNMtCu,[C,A]AufNMtCu,[VlogfN¯A,C]ufNAuMtCu,[C,A]ufNCAu,Mt[A,C]u+fN(AMt)Cu,[A,C]u.\begin{split}Q_{C^{\prime},A}=&-\int f_{N}\langle M_{t}Cu,[C^{\prime},A^{\ast}]Au\rangle-\int f_{N}\langle M_{t}Cu,[\nabla_{V}\log\bar{f_{N}}\cdot A,C^{\prime}]u\rangle\\ &-\int f_{N}\langle Au\otimes M_{t}Cu,[C^{\prime},A]u\rangle-\int f_{N}\langle CAu,M_{t}[A,C^{\prime}]u\rangle\\ &+\int f_{N}\langle(AM_{t})Cu,[A,C^{\prime}]u\rangle.\end{split} (2.39)
Remark 11.

The notations of inner product and commutator operators appeared above are the same as in Remark 9 and 10. Let us explain the notations associated with MtM_{t} we used above. We denote Cu,[B,C]u,CR¯NCu,[B,C]u,C\overline{R}_{N} are NdNd-tuple vectors, then it is reasonable to multiply MtM_{t} with them. CAu,MtCAu\langle CAu,M_{t}C^{\prime}Au\rangle should be understood as

i,j,l=1NCiAlu,MijCjAlu2d\sum_{i,j,l=1}^{N}\langle C_{i}A_{l}u,M_{ij}C^{\prime}_{j}A_{l}u\rangle_{\mathbb{R}^{2d}}

in the sense of coordinate zjΩ×dz_{j}\in\Omega\times\mathbb{R}^{d}. The derivative of MtM_{t} (i.e. tMt,AMt,BMt,ΔVMt\partial_{t}M_{t},AM_{t},BM_{t},\Delta_{V}M_{t}) is taken componentwise.

Proof.

We use the similar argument with Lemma 3. We directly take derivative and obtain,

ddtfNCu,MtCu=tfNCu,MtCu+fNC(tu),MtCu+fNCu,MtC(tu)+fNCu,(tMt)Cu.\begin{split}\frac{d}{dt}\int f_{N}\langle Cu,M_{t}C^{\prime}u\rangle=&\int\partial_{t}f_{N}\langle Cu,M_{t}C^{\prime}u\rangle\\ &+\int f_{N}\langle C(\partial_{t}u),M_{t}C^{\prime}u\rangle+\int f_{N}\langle Cu,M_{t}C^{\prime}(\partial_{t}u)\rangle\\ &+\int f_{N}\langle Cu,(\partial_{t}M_{t})C^{\prime}u\rangle.\end{split} (2.40)

Observe that the last term

fNCu,(tMt)Cu\int f_{N}\langle Cu,(\partial_{t}M_{t})C^{\prime}u\rangle (2.41)

is new. Next we use the similar step in Lemma 3 to go on.

Step1.Step1. In this step, we claim the following

ddtfNCu,MtCu=fN[B,C]u,MtCu+fNCu,Mt[B,C]ufNCRN,MtCufNCu,MtCRN+σQσ+fNCu,(tMt+BMt)Cu,\begin{split}\frac{d}{dt}\int f_{N}\langle Cu,M_{t}C^{\prime}u\rangle=&\int f_{N}\langle[B,C]u,M_{t}C^{\prime}u\rangle+\int f_{N}\langle Cu,M_{t}[B,C^{\prime}]u\rangle\\ &-\int f_{N}\langle CR_{N},M_{t}C^{\prime}u\rangle-\int f_{N}\langle Cu,M_{t}C^{\prime}R_{N}\rangle+\sigma Q_{\sigma}\\ &+\int f_{N}\langle Cu,(\partial_{t}M_{t}+BM_{t})C^{\prime}u\rangle,\end{split} (2.42)

where QσQ_{\sigma} collects all terms with coefficient σ\sigma, which reads as

Qσ=fNΔVCu,MtCufNCAAu,MtCu+fNC(VlogfNAu),MtCufNCu,MtCAAu+fNCu,MtC(VlogfNAu).\begin{split}Q_{\sigma}=&\int f_{N}\Delta_{V}\langle Cu,M_{t}C^{\prime}u\rangle\\ &-\int f_{N}\langle CA^{\ast}Au,M_{t}C^{\prime}u\rangle+\int f_{N}\langle C(\nabla_{V}\log f_{N}\cdot Au),M_{t}C^{\prime}u\rangle\\ &-\int f_{N}\langle Cu,M_{t}C^{\prime}A^{\ast}Au\rangle+\int f_{N}\langle Cu,M_{t}C^{\prime}(\nabla_{V}\log f_{N}\cdot Au)\rangle.\end{split} (2.43)
Remark 12.

Let us explain some notations we use. Since [B,C]u[B,C^{\prime}]u, C(AAu)C^{\prime}(A^{\ast}Au) and C(VlogfNAu)C^{\prime}(\nabla_{V}\log f_{N}\cdot Au) are all 2Nd2Nd-tuple vectors, it is reasonable to multiple them with MtM_{t}. After that, Mt[B,C]uM_{t}[B,C^{\prime}]u, MtC(AAu)M_{t}C^{\prime}(A^{\ast}Au) and MtC(VlogfNAu)M_{t}C^{\prime}(\nabla_{V}\log f_{N}\cdot Au) are 2Nd2Nd-tuple vectors.

For the first term of (2.40), recall Liouville operator (1.5) we have

tfNCu,MtCu=LNfNCu,MtCu=fN(BCu,MtCu)+σfN(ΔVCu,MtCu)=fNBCu,MtCu+fNCu,MtBCu+σfN(ΔVCu,MtCu)+fNCu,(BMt)Cu.\begin{split}\int\partial_{t}f_{N}\langle Cu,M_{t}C^{\prime}u\rangle=&\int-L_{N}f_{N}\langle Cu,M_{t}C^{\prime}u\rangle\\ =&\int f_{N}(B\langle Cu,M_{t}C^{\prime}u\rangle)+\sigma\int f_{N}(\Delta_{V}\langle Cu,M_{t}C^{\prime}u\rangle)\\ =&\int f_{N}\langle BCu,M_{t}C^{\prime}u\rangle+\int f_{N}\langle Cu,M_{t}BC^{\prime}u\rangle+\sigma\int f_{N}(\Delta_{V}\langle Cu,M_{t}C^{\prime}u\rangle)\\ &+\int f_{N}\langle Cu,(BM_{t})C^{\prime}u\rangle.\end{split} (2.44)

For the second term and third term of (2.40), using Eq.(2.3), we have

fNC(tu),MtCu=fNC(Bu),MtCufNCRN,MtCuσfNCAAu,MtCu+σfNC(VlogfNAu),MtCu.\begin{split}\int f_{N}\langle C(\partial_{t}u),M_{t}C^{\prime}u\rangle=&-\int f_{N}\langle C(Bu),M_{t}C^{\prime}u\rangle-\int f_{N}\langle CR_{N},M_{t}C^{\prime}u\rangle\\ &-\sigma\int f_{N}\langle CA^{\ast}Au,M_{t}C^{\prime}u\rangle+\sigma\int f_{N}\langle C(\nabla_{V}\log f_{N}\cdot Au),M_{t}C^{\prime}u\rangle.\end{split} (2.45)
fNCu,MtC(tu)=fNCu,MtC(Bu)fNCu,MtCRNσfNCu,MtCAAu+σfNCu,MtC(VlogfNAu),\begin{split}\int f_{N}\langle Cu,M_{t}C^{\prime}(\partial_{t}u)\rangle=&-\int f_{N}\langle Cu,M_{t}C^{\prime}(Bu)\rangle-\int f_{N}\langle Cu,M_{t}C^{\prime}R_{N}\rangle\\ &-\sigma\int f_{N}\langle Cu,M_{t}C^{\prime}A^{\ast}Au\rangle+\sigma\int f_{N}\langle Cu,M_{t}C^{\prime}(\nabla_{V}\log f_{N}\cdot Au)\rangle,\end{split} (2.46)

Combine terms (2.44),(2.45) and (2.46), we obtain the (2.42).

Step2.Step2. In this step, we focus on the term QσQ_{\sigma} as before, whose terms all come from diffusion. Now we claim,

Qσ=2fNCAu,MtCAu+QC,A+QC,A+fNCu,(ΔVMt)Cu,\begin{split}Q_{\sigma}=&-2\int f_{N}\langle CAu,M_{t}C^{\prime}Au\rangle+Q_{C,A}+Q_{C^{\prime},A}\\ &+\int f_{N}\langle Cu,(\Delta_{V}M_{t})C^{\prime}u\rangle,\end{split} (2.47)

where

QC,A=fN[C,A]Au,MtCufN[VlogfN¯A,C]u,MtCufN[C,A]u,AuMtCufNMt[A,C]u,CAu+fN[A,C]u,(AMt)Cu,\begin{split}Q_{C,A}=&-\int f_{N}\langle[C,A^{\ast}]Au,M_{t}C^{\prime}u\rangle-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,M_{t}C^{\prime}u\rangle\\ &-\int f_{N}\langle[C,A]u,Au\otimes M_{t}C^{\prime}u\rangle-\int f_{N}\langle M_{t}[A,C]u,C^{\prime}Au\rangle\\ &+\int f_{N}\langle[A,C]u,(AM_{t})C^{\prime}u\rangle,\end{split} (2.48)
QC,A=fNMtCu,[C,A]AufNMtCu,[VlogfN¯A,C]ufNAuMtCu,[C,A]ufNCAu,Mt[A,C]u+fN(AMt)Cu,[A,C]u,\begin{split}Q_{C^{\prime},A}=&-\int f_{N}\langle M_{t}Cu,[C^{\prime},A^{\ast}]Au\rangle-\int f_{N}\langle M_{t}Cu,[\nabla_{V}\log\bar{f_{N}}\cdot A,C^{\prime}]u\rangle\\ &-\int f_{N}\langle Au\otimes M_{t}Cu,[C^{\prime},A]u\rangle-\int f_{N}\langle CAu,M_{t}[A,C^{\prime}]u\rangle\\ &+\int f_{N}\langle(AM_{t})Cu,[A,C^{\prime}]u\rangle,\end{split} (2.49)

The terms QC,AQ_{C,A} and QC,AQ_{C^{\prime},A} collect all terms including commutators, we will take suitable operators CC and CC^{\prime} to simplify these commutators.

For the first term of (2.43), using integral by parts with respect to Lebesgue measure,

ΔVfNCu,MtCu=fNAuACu,MtCufNVlogfN¯ACu,MtCu¯.\begin{split}&\int\Delta_{V}f_{N}\langle Cu,M_{t}C^{\prime}u\rangle\\ =&-\int f_{N}Au\cdot A\langle Cu,M_{t}C^{\prime}u\rangle\underline{-\int f_{N}\nabla_{V}\log\bar{f_{N}}\cdot A\langle Cu,M_{t}C^{\prime}u\rangle}.\end{split} (2.50)

Recall we denote A=(0,V)A=(0,\nabla_{V}), we continue the first term of (2.50)

fNAuACu,MtCu=fNACu,AuMtCufNAuMtCu,ACufNAuCu,(AMt)Cu=fNCAu,AuMtCufNAuMtCu,CAu+fN[C,A]u,AuMtCu+fNAuMtCu,[C,A]ufNAuCu,(AMt)Cu.\begin{split}&-\int f_{N}Au\cdot A\langle Cu,M_{t}C^{\prime}u\rangle\\ =&-\int f_{N}\langle ACu,Au\otimes M_{t}C^{\prime}u\rangle-\int f_{N}\langle Au\otimes M_{t}Cu,AC^{\prime}u\rangle\\ &-\int f_{N}Au\cdot\langle Cu,(AM_{t})C^{\prime}u\rangle\\ =&-\int f_{N}\langle CAu,Au\otimes M_{t}C^{\prime}u\rangle-\int f_{N}\langle Au\otimes M_{t}Cu,C^{\prime}Au\rangle\\ &+\int f_{N}\langle[C,A]u,Au\otimes M_{t}C^{\prime}u\rangle+\int f_{N}\langle Au\otimes M_{t}Cu,[C^{\prime},A]u\rangle\\ &-\int f_{N}Au\cdot\langle Cu,(AM_{t})C^{\prime}u\rangle.\end{split} (2.51)

For the second terms of (2.50), we rewrite it as

fNCAAu,MtCu=fNACAu,MtCufN[C,A]Au,MtCu,\begin{split}&-\int f_{N}\langle CA^{\ast}Au,M_{t}C^{\prime}u\rangle\\ =&-\int f_{N}\langle A^{\ast}CAu,M_{t}C^{\prime}u\rangle-\int f_{N}\langle[C,A^{\ast}]Au,M_{t}C^{\prime}u\rangle,\end{split} (2.52)

and we continue the first term of (2.52),

fNACAu,MtCu=fN¯ACAu,MtCh=fN¯CAu,Mt(ACh)fN¯CAu,(AMt)Ch=fNCAu,Mt(ACu)fN¯CAu,AhMtCufN¯CAu,(AMt)Ch=fNCAu,Mt(ACu)fNCAu,AuMtCufNCAu,(AMt)Cu,\begin{split}&-\int f_{N}\langle A^{\ast}CAu,M_{t}C^{\prime}u\rangle\\ =&-\int\bar{f_{N}}\langle A^{\ast}CAu,M_{t}C^{\prime}h\rangle\\ =&-\int\bar{f_{N}}\langle CAu,M_{t}(AC^{\prime}h)\rangle-\int\bar{f_{N}}\langle CAu,(AM_{t})C^{\prime}h\rangle\\ =&-\int f_{N}\langle CAu,M_{t}(AC^{\prime}u)\rangle-\int\bar{f_{N}}\langle CAu,Ah\otimes M_{t}C^{\prime}u\rangle-\int\bar{f_{N}}\langle CAu,(AM_{t})C^{\prime}h\rangle\\ =&-\int f_{N}\langle CAu,M_{t}(AC^{\prime}u)\rangle-\int f_{N}\langle CAu,Au\otimes M_{t}C^{\prime}u\rangle-\int f_{N}\langle CAu,(AM_{t})C^{\prime}u\rangle,\end{split}

now we have

fNCAAu,MtCu=fNCAu,Mt(CAu)fNCAu,Mt[A,C]ufN[C,A]Au,MtCufNCAu,AuMtCufNCAu,(AMt)Cu.\begin{split}-\int f_{N}\langle CA^{\ast}Au,M_{t}C^{\prime}u\rangle=&-\int f_{N}\langle CAu,M_{t}(C^{\prime}Au)\rangle-\int f_{N}\langle CAu,M_{t}[A,C^{\prime}]u\rangle\\ &-\int f_{N}\langle[C,A^{\ast}]Au,M_{t}C^{\prime}u\rangle-\int f_{N}\langle CAu,Au\otimes M_{t}C^{\prime}u\rangle\\ &-\int f_{N}\langle CAu,(AM_{t})C^{\prime}u\rangle.\end{split}

Similarly, for the fourth term of (2.43), since MtM_{t} is symmetric, using its conjugation in dN\mathbb{R}^{dN},

fNCu,MtCAAu=fNMtCu,CAAu,-\int f_{N}\langle Cu,M_{t}C^{\prime}A^{\ast}Au\rangle=-\int f_{N}\langle M_{t}Cu,C^{\prime}A^{\ast}Au\rangle,

up to the exchange of CC and CC^{\prime}, we have

fNCu,MtCAAu=fNMt(CAu),CAufNMt[A,C]u,CAufNMtCu,[C,A]AufNAuMtCu,CAufN(AMt)Cu,CAu.\begin{split}-\int f_{N}\langle Cu,M_{t}C^{\prime}A^{\ast}Au\rangle=&-\int f_{N}\langle M_{t}(CAu),C^{\prime}Au\rangle-\int f_{N}\langle M_{t}[A,C]u,C^{\prime}Au\rangle\\ &-\int f_{N}\langle M_{t}Cu,[C^{\prime},A^{\ast}]Au\rangle-\int f_{N}\langle Au\otimes M_{t}Cu,C^{\prime}Au\rangle\\ &-\int f_{N}\langle(AM_{t})Cu,C^{\prime}Au\rangle.\end{split} (2.53)

Finally, all of left terms are third and fifth term in (2.43), and underlined term in (2.50), we collect them as below,

fNVlogfN¯ACu,MtCu+fNC(VlogfNAu),MtCu+fNMtCu,C(VlogfNAu).\begin{split}&-\int f_{N}\nabla_{V}\log\bar{f_{N}}\cdot A\langle Cu,M_{t}C^{\prime}u\rangle\\ &+\int f_{N}\langle C(\nabla_{V}\log f_{N}\cdot Au),M_{t}C^{\prime}u\rangle\\ &+\int f_{N}\langle M_{t}Cu,C^{\prime}(\nabla_{V}\log f_{N}\cdot Au)\rangle.\end{split} (2.54)

We deal with the first term of (2.54) as following,

fNVlogfN¯ACu,MtCu=fNVlogfN¯A(Cu),MtCufNMtCu,VlogfN¯A(Cu)fNCu,(VlogfNAMt)Cu=fNC(VlogfN¯Au),MtCufN[VlogfN¯A,C]u,MtCufNMtCu,C(VlogfN¯Au)fNMtCu,[VlogfN¯A,C]ufNCu,(VlogfNAMt)Cu,\begin{split}&-\int f_{N}\nabla_{V}\log\bar{f_{N}}\cdot A\langle Cu,M_{t}C^{\prime}u\rangle\\ =&-\int f_{N}\langle\nabla_{V}\log\bar{f_{N}}\cdot A(Cu),M_{t}C^{\prime}u\rangle-\int f_{N}\langle M_{t}Cu,\nabla_{V}\log\bar{f_{N}}\cdot A(C^{\prime}u)\rangle\\ &-\int f_{N}\langle Cu,(\nabla_{V}\log f_{N}\cdot AM_{t})C^{\prime}u\rangle\\ =&-\int f_{N}\langle C(\nabla_{V}\log\bar{f_{N}}\cdot Au),M_{t}C^{\prime}u\rangle-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,M_{t}C^{\prime}u\rangle\\ &-\int f_{N}\langle M_{t}Cu,C^{\prime}(\nabla_{V}\log\bar{f_{N}}\cdot Au)\rangle-\int f_{N}\langle M_{t}Cu,[\nabla_{V}\log\bar{f_{N}}\cdot A,C^{\prime}]u\rangle\\ &-\int f_{N}\langle Cu,(\nabla_{V}\log f_{N}\cdot AM_{t})C^{\prime}u\rangle,\end{split} (2.55)

by similar argument with (2.28) and (2.29) in Lemma 3, we have

2fNCAu,AuCu+2fNAuCu,CAufN[VlogfN¯A,C]u,CufNCu,[VlogfN¯A,C]ufNCu,(VlogfNAMt)Cu.\begin{split}&2\int f_{N}\langle CAu,Au\otimes C^{\prime}u\rangle+2\int f_{N}\langle Au\otimes Cu,C^{\prime}Au\rangle\\ &-\int f_{N}\langle[\nabla_{V}\log\bar{f_{N}}\cdot A,C]u,C^{\prime}u\rangle-\int f_{N}\langle Cu,[\nabla_{V}\log\bar{f_{N}}\cdot A,C^{\prime}]u\rangle\\ &-\int f_{N}\langle Cu,(\nabla_{V}\log f_{N}\cdot AM_{t})C^{\prime}u\rangle.\end{split} (2.56)

Until now, let us collect all terms don’t appear in the Lemma 3:

fNAuCu,(AMt)CufNCAu,(AMt)CufN(AMt)Cu,CAufNCu,(VlogfN¯AMt+tMt+BMt)Cu.\begin{split}&-\int f_{N}Au\cdot\langle Cu,(AM_{t})C^{\prime}u\rangle\\ &-\int f_{N}\langle CAu,(AM_{t})C^{\prime}u\rangle-\int f_{N}\langle(AM_{t})Cu,C^{\prime}Au\rangle\\ &-\int f_{N}\langle Cu,(\nabla_{V}\log\bar{f_{N}}\cdot AM_{t}+\partial_{t}M_{t}+BM_{t})C^{\prime}u\rangle.\end{split} (2.57)

We compute the first term more precisely,

fNAuCu,(AMt)Cu=fN¯AhCu,(AMt)Cu,-\int f_{N}Au\cdot\langle Cu,(AM_{t})C^{\prime}u\rangle\\ =-\int\bar{f_{N}}Ah\cdot\langle Cu,(AM_{t})C^{\prime}u\rangle, (2.58)

using the conjugate relationship w.r.t. measure f¯N\bar{f}_{N}, we have

fN¯AhCu,(AMt)Cu=fNACu,(AMt)Cu,-\int\bar{f_{N}}Ah\cdot\langle Cu,(AM_{t})C^{\prime}u\rangle=-\int f_{N}A^{\ast}\langle Cu,(AM_{t})C^{\prime}u\rangle, (2.59)

recall A=AgVlogfN¯,gA^{\ast}=-A\cdot g-\langle\nabla_{V}\log\bar{f_{N}},g\rangle, then we have

fNACu,(AMt)Cu=i=1NfNAiCu,(AiMt)Cu+fNVlogfN¯Cu,(AMt)Cu=i=1NfNAiCu,(AiMt)Cu+i=1NfN(AiMt)Cu,AiCu+fNCu,(ΔVM)Cu+fNCu,(VlogfN¯AMt)Cu=fNACu,(AMt)Cu+fN(AMt)Cu,ACu+fNCu,(ΔVM)Cu+fNCu,(VlogfN¯AMt)Cu.\begin{split}&-\int f_{N}A^{\ast}\langle Cu,(AM_{t})C^{\prime}u\rangle\\ =&\sum_{i=1}^{N}\int f_{N}A_{i}\cdot\langle Cu,(A_{i}M_{t})C^{\prime}u\rangle+\int f_{N}\nabla_{V}\log\bar{f_{N}}\cdot\langle Cu,(AM_{t})C^{\prime}u\rangle\\ =&\sum_{i=1}^{N}\int f_{N}\langle A_{i}Cu,(A_{i}M_{t})C^{\prime}u\rangle+\sum_{i=1}^{N}\int f_{N}\langle(A_{i}M_{t})Cu,A_{i}C^{\prime}u\rangle\\ &+\int f_{N}\langle Cu,(\Delta_{V}M)C^{\prime}u\rangle+\int f_{N}\langle Cu,(\nabla_{V}\log\bar{f_{N}}\cdot AM_{t})C^{\prime}u\rangle\\ =&\int f_{N}\langle ACu,(AM_{t})C^{\prime}u\rangle+\int f_{N}\langle(AM_{t})Cu,AC^{\prime}u\rangle\\ &+\int f_{N}\langle Cu,(\Delta_{V}M)C^{\prime}u\rangle+\int f_{N}\langle Cu,(\nabla_{V}\log\bar{f_{N}}\cdot AM_{t})C^{\prime}u\rangle.\end{split} (2.60)

Combine with last three terms of (2.57), all of remaining terms compared with (2.30) in the proof of Lemma 3 are

fNCu,(ΔVMt)Cu+fN[A,C]u,(AMt)Cu+fN(AMt)Cu,[A,C]u.\begin{split}&\int f_{N}\langle Cu,(\Delta_{V}M_{t})C^{\prime}u\rangle\\ &+\int f_{N}\langle[A,C]u,(AM_{t})C^{\prime}u\rangle+\int f_{N}\langle(AM_{t})Cu,[A,C^{\prime}]u\rangle.\end{split} (2.61)

Together with (2.42) in Step1Step1, we finish the proof. ∎

Corollary 2.

If we take MM as a block positive defined matrix, i.e.

M=(EFFG),M=\left(\begin{array}[]{cc}E&F\\ F&G\end{array}\right), (2.62)

where E,F,G:×(Ω×d)NNd×NdE,F,G:\mathbb{R}\times(\Omega\times\mathbb{R}^{d})^{N}\rightarrow\mathbb{R}^{Nd\times Nd} are matrix-valued functions smooth enough, and take C=C=(X,V)C=C^{\prime}=(\nabla_{X},\nabla_{V}), then we have

ddt{fNCu,MtCu}=Cu,StCu2fNCR¯N,MtCu2σfNCAu,MtCAu,\begin{split}\frac{d}{dt}\left\{\int f_{N}\langle Cu,M_{t}Cu\rangle\right\}=&-\int\langle Cu,S_{t}Cu\rangle-2\int f_{N}\langle C\overline{R}_{N},M_{t}Cu\rangle\\ &-2\sigma\int f_{N}\langle CAu,M_{t}C^{\prime}Au\rangle,\end{split} (2.63)

where St=S(t,Z)S_{t}=S(t,Z) is a matrix reads as

St=(2FtELNED1tFLNF2E2U+2γF2GtFLNFD2tGLNG2F2U+2γG)S_{t}=\left(\begin{array}[]{cc}2F-\partial_{t}E-L^{\ast}_{N}E&D_{1}-\partial_{t}F-L^{\ast}_{N}F-2E\nabla^{2}U+2\gamma F\\ 2G-\partial_{t}F-L^{\ast}_{N}F&D_{2}-\partial_{t}G-L^{\ast}_{N}G-2F\nabla^{2}U+2\gamma G\end{array}\right) (2.64)

and

D1=4σ(FVVlogfN¯+EXVlogfN¯),D_{1}=-4\sigma(F\nabla_{V}\nabla_{V}\log\bar{f_{N}}+E\nabla_{X}\nabla_{V}\log\bar{f_{N}}),
D2=4σ(FXVlogfN¯+GVVlogfN¯).D_{2}=-4\sigma(F\nabla_{X}\nabla_{V}\log\bar{f_{N}}+G\nabla_{V}\nabla_{V}\log\bar{f_{N}}).
Remark 13.

A easy computation shows that

2U=(2V(x1)+1Nj1N2W(x1xj)1N2W(x1xN)1N2W(xNx1)2V(xN)+1NjNN2W(xNxj)),\nabla^{2}U=\begin{pmatrix}\nabla^{2}V(x_{1})+\frac{1}{N}\sum_{j\neq 1}^{N}\nabla^{2}W(x_{1}-x_{j})&\cdots&-\frac{1}{N}\nabla^{2}W(x_{1}-x_{N})\\ \vdots&\ddots&\vdots\\ -\frac{1}{N}\nabla^{2}W(x_{N}-x_{1})&\cdots&\nabla^{2}V(x_{N})+\frac{1}{N}\sum_{j\neq N}^{N}\nabla^{2}W(x_{N}-x_{j})\end{pmatrix}, (2.65)

which is a Nd×NdNd\times Nd matrix.

Proof.

The main idea is to analyse every term in (2.37). Let us compute what commutator [B,C][B,C] is firstly. For each component of operator C=(X,V)C=(\nabla_{X},\nabla_{V}), we have

[X,B]i=k=1N[xi,Bk]=k=1N[xi,xkUvk]=k=1Nxi,xk2Uvk,[\nabla_{X},B]_{i}=\sum_{k=1}^{N}[\nabla_{x_{i}},B_{k}]=-\sum_{k=1}^{N}[\nabla_{x_{i}},\nabla_{x_{k}}U\cdot\nabla_{v_{k}}]=-\sum_{k=1}^{N}\nabla^{2}_{x_{i},x_{k}}U\cdot\nabla_{v_{k}}, (2.66)

and

[V,B]i=k=1N[vi,Bk]=k=1N[vi,vkxkγvkvk]=k=1Nδik(xkγvk)=xiγvi.\begin{split}[\nabla_{V},B]_{i}=\sum_{k=1}^{N}[\nabla_{v_{i}},B_{k}]&=\sum_{k=1}^{N}[\nabla_{v_{i}},v_{k}\cdot\nabla_{x_{k}}-\gamma v_{k}\cdot\nabla_{v_{k}}]\\ &=\sum_{k=1}^{N}\delta_{ik}(\nabla_{x_{k}}-\gamma\nabla_{v_{k}})=\nabla_{x_{i}}-\gamma\nabla_{v_{i}}.\end{split} (2.67)

In other word, we have

[B,C]=(2UV,XγV)=(02UIdγId)(XV).\begin{split}[B,C]^{\top}=-(-\nabla^{2}U\cdot\nabla_{V},\nabla_{X}-\gamma\nabla_{V})^{\top}=\left(\begin{array}[]{cc}0&\nabla^{2}U\\ -Id&\gamma Id\end{array}\right)\left(\begin{array}[]{c}\nabla_{X}\\ \nabla_{V}\end{array}\right).\end{split} (2.68)

Then we regard Mt[B,C]u,Cu+Cu,Mt[B,C]u\langle M_{t}[B,C]u,Cu\rangle+\langle Cu,M_{t}[B,C]u\rangle as a quadratic form with matrix

(2FE2UγFGE2UγFG2F2U2γG).\left(\begin{array}[]{cc}-2F&E\nabla^{2}U-\gamma F-G\\ E\nabla^{2}U-\gamma F-G&2F\nabla^{2}U-2\gamma G\end{array}\right). (2.69)

Since MtM_{t} is a positive defined matrix, CAu,MtCAu-\langle CAu,M_{t}CAu\rangle must be negative, so we just keep it. Moreover, C,CC,C^{\prime} are commutative with AA, only nontrivial terms in (2.38) and (2.39) are first line two terms. We recall [C,A][C,A^{\ast}] and [VlogfN¯A,C][\nabla_{V}\log\bar{f_{N}}\cdot A,C] in Corollary 1, and we regard QC,A+QC,AQ_{C,A}+Q_{C^{\prime},A} as a quadratic form with following matrix,

(EFFG)(04σXVlogfN¯04σVVlogfN¯)=(04σ(EXVlogfN¯+FVVlogfN¯)04σ(FXVlogfN¯+GVVlogfN¯)).\left(\begin{array}[]{cc}E&F\\ F&G\end{array}\right)\left(\begin{array}[]{cc}0&4\sigma\nabla_{X}\nabla_{V}\log\bar{f_{N}}\\ 0&4\sigma\nabla_{V}\nabla_{V}\log\bar{f_{N}}\end{array}\right)=\left(\begin{array}[]{cc}0&4\sigma(E\nabla_{X}\nabla_{V}\log\bar{f_{N}}+F\nabla_{V}\nabla_{V}\log\bar{f_{N}})\\ 0&4\sigma(F\nabla_{X}\nabla_{V}\log\bar{f_{N}}+G\nabla_{V}\nabla_{V}\log\bar{f_{N}})\end{array}\right). (2.70)

For the last line in (2.37), we recall duality of Liouville operator (2.1), then we have

tMt+BMt+σMt=(tE+LNEtF+LNFtF+LNFtG+LNG).\partial_{t}M_{t}+BM_{t}+\sigma M_{t}=\left(\begin{array}[]{cc}\partial_{t}E+L_{N}^{\ast}E&\partial_{t}F+L_{N}^{\ast}F\\ \partial_{t}F+L_{N}^{\ast}F&\partial_{t}G+L_{N}^{\ast}G\end{array}\right). (2.71)

Combining (2.69),(2.70) and (2.71), we finish the proof. ∎

2.3 Weighted log Sobolev inequality

In this section, we establish the weighted Log-Sobolev inequality for nonlinear equilibrium ff_{\infty} defined by Eq.(1.8), then we extend to the weighted NN-particle version by verifying tensorized invariance of weighted Log-Sobolev inequality. Before that, let us talk about the situation of first order particle system. Guillin et al. consider the uniform-in-time propagation of chaos with the following limiting equation on 𝕋d\mathbb{T}^{d} in [19],

tρ+divx(ρKρ)=σΔxρ,x𝕋d,\partial_{t}\rho+\text{div}_{x}(\rho K\ast\rho)=\sigma\Delta_{x}\rho,\ \ \ x\in\mathbb{T}^{d}, (2.72)

where ρ(t,x):×Ω\rho(t,x):\mathbb{R}\times\Omega\rightarrow\mathbb{R} is a probability density. An very useful observation in [19] is that, if there exists some constant λ>1\lambda>1 such that

1λρ0λ,\frac{1}{\lambda}\leq\rho_{0}\leq\lambda, (2.73)

for initial data ρ0\rho_{0} of Eq.(2.72) on 𝕋d\mathbb{T}^{d}, then they propagate this property to all time tt uniformly, i.e.

1λρ(t)λ.\frac{1}{\lambda}\leq\rho(t)\leq\lambda. (2.74)

After controlling the upper bound of nρL\|\nabla^{n}\rho\|_{L^{\infty}} by standard energy estimates, they obtain the upper bound of logρL\|\nabla\log\rho\|_{L^{\infty}} and 2logρL\|\nabla^{2}\log\rho\|_{L^{\infty}}, which is essential for the proof of Theorem 1 in [19]. Another important observation in [19] is that ρt(x)\rho_{t}(x) satisfies Log-Sobolev inequality uniformly in tt as a result of perturbation of uniform distribution by (2.74) (See Proposition 5.1.6, [1]). These two facts help them obtain uniform-in-time propagation of chaos even for Biot-Savart kernel. But in the case of Vlasov-Fokker-Planck equation (1.7), the situation becomes totally different. The best we can expect to initial data of Eq.(1.7) is

f0(x,t)Ceav22,(x,v)Ω×df_{0}(x,t)\geq Ce^{-\frac{av^{2}}{2}},\ \ \ (x,v)\in\Omega\times\mathbb{R}^{d} (2.75)

for some constant C>0,a>0C>0,a>0. The lack of positive lower bound of (2.75) makes the uniform-in-time upper bound of 2logfL\|\nabla^{2}\log f\|_{L^{\infty}} fail by the same strategy in [19], that is the reason why we replace the reference measure ff by ff_{\infty}.

Inspired by the argument of Gibbs measure for one particle in [10],

dμ=1ZeβH(x,v)dxdv,(x,v)Ω×d,d\mu=\frac{1}{Z}e^{-\beta H(x,v)}\mathrm{d}x\mathrm{d}v,\ \ \ (x,v)\in\Omega\times\mathbb{R}^{d}, (2.76)

where H(x,v)=v22+V(x)H(x,v)=\frac{v^{2}}{2}+V(x) is the Hamiltonian defined on Ω×d\Omega\times\mathbb{R}^{d} and ZZ is partition function. We omit the temperature constant β\beta in the following and recall some related results in [10].

Definition 2.1.

μ\mu satisfies the following weighted Log-Sobolev inequality in d×d\mathbb{R}^{d}\times\mathbb{R}^{d} if there exists some constant ρwls(μ)>0\rho_{wls}(\mu)>0 s.t. for all smooth enough gg with g2𝑑μ=1\int g^{2}d\mu=1:

Entμ(g2)ρwls(μ)(H2η|xg|2+|vg|2)dμ.Ent_{\mu}(g^{2})\leq\rho_{wls}(\mu)\int(H^{-2\eta}|\nabla_{x}g|^{2}+|\nabla_{v}g|^{2})\mathrm{d}\mu. (2.77)

The weighted Log-Sobolev inequality (2.77) associates with a new second order operator LηL_{\eta} on d×d\mathbb{R}^{d}\times\mathbb{R}^{d},

Lη:=H2ηΔx+ΔvH2η(2ηxHH+xH)xvHv,L_{\eta}:=H^{-2\eta}\Delta_{x}+\Delta_{v}-H^{-2\eta}\left(2\eta\frac{\nabla_{x}H}{H}+\nabla_{x}H\right)\cdot\nabla_{x}-\nabla_{v}H\cdot\nabla_{v}, (2.78)

which is symmetric in L2(μ)L^{2}(\mu) and satisfies

f(Lηg)𝑑μ=(H2ηxfxg+vfvg)dμ.\int f(L_{\eta}g)d\mu=-\int(H^{-2\eta}\nabla_{x}f\cdot\nabla_{x}g+\nabla_{v}f\cdot\nabla_{v}g)\mathrm{d}\mu.

The following theorem tells us how to verifying the weighted Log-Sobolev inequality for suitable condition of function HH.

Theorem 2.1.

Assume that HH goes to infinity at infinity and that there exists a>0a>0 such that eaHL1(μ)e^{aH}\in L^{1}(\mu).

(1) If μ\mu satisfies the weighted Log-Sobolev inequality (2.77), then, there exists a Lyapunov function, i.e. a smooth function WW such that W(x,y)w>0W(x,y)\geq w>0 for all (x,v)(x,v), two positive constant λ\lambda and bb such that

LηWλHW+b.L_{\eta}W\leq-\lambda HW+b. (2.79)

(2) Conversely, assume that there exists a Lyapunov function satisfying (2.79) and that |H|c>0|\nabla H|\geq c>0 for |(x,y)||(x,y)| large enough. Define

θ(r)=supzArmaxi,j=1,,2d|2Hzizj|\theta(r)=\sup_{z\in\partial A_{r}}\max_{i,j=1,...,2d}|\frac{\partial^{2}H}{\partial z_{i}\partial z_{j}}| (2.80)

and assume that θ(r)ceC0r\theta(r)\leq ce^{C_{0}r} with some positive constants C0C_{0} and cc for rr sufficiently large. Then μ\mu satisfies the weighted Log-Sobolev inequality (2.77).

A natural choice of Lyapunov function is W(x,v)=eα(v22+V(x))W(x,v)=e^{\alpha(\frac{v^{2}}{2}+V(x))} with α(0,1)\alpha\in(0,1), we refer [9] and [10] to readers for more details. A simple perturbation argument in [1] could extend the weighted Log-Sobolev inequality to ff_{\infty}.

Proposition 1.

Assume that μ\mu satisfies the weighted Log-Sobolev inequality (2.77), let μ1\mu_{1} be a probability measure with density hh with respect to μ\mu such that 1λhλ\frac{1}{\lambda}\leq h\leq\lambda for some constant λ>0\lambda>0, then μ1\mu_{1} satisfies

Entμ1(g2)ρwls(μ)λ2(H2η|xg|2+|vg|2)dμ1.Ent_{\mu_{1}}(g^{2})\leq\rho_{wls}(\mu)\lambda^{2}\int(H^{-2\eta}|\nabla_{x}g|^{2}+|\nabla_{v}g|^{2})\mathrm{d}\mu_{1}. (2.81)
Proof.

We use the following lemma in [1] (Page240, Lemma 5.1.7),

Lemma 5.

Let ϕ:I\phi:I\rightarrow\mathbb{R} on some open interval II\subset\mathbb{R} be convex of class C2C^{2}. For every bounded or suitably integrable measurable function f:Ef:E\rightarrow\mathbb{R} with values in II,

Eϕ(f)𝑑μϕ(Ef𝑑μ)=infrIE[ϕ(f)ϕ(r)ϕ(r)(fr)]dμ.\int_{E}\phi(f)d\mu-\phi\left(\int_{E}fd\mu\right)=\inf_{r\in I}\int_{E}[\phi(f)-\phi(r)-\phi^{\prime}(r)(f-r)]\mathrm{d}\mu. (2.82)

For the function ϕ(r)=rlogr\phi(r)=rlogr on I=(0,)I=(0,\infty), we can easily establish (2.81) by

Entμ1(g2)=infrIE[ϕ(g2)ϕ(r)ϕ(r)(g2r)]𝑑μ1λEntμ(g2),Ent_{\mu_{1}}(g^{2})=\inf_{r\in I}\int_{E}[\phi(g^{2})-\phi(r)-\phi^{\prime}(r)(g^{2}-r)]d\mu_{1}\leq\lambda Ent_{\mu}(g^{2}),

and

λEntμ(g2)ρwls(μ)λ(H2η|xg|2+|vg|2)dμρwls(μ)λ2(H2η|xg|2+|vg|2)dμ1.\begin{split}\lambda Ent_{\mu}(g^{2})&\leq\rho_{wls}(\mu)\lambda\int(H^{-2\eta}|\nabla_{x}g|^{2}+|\nabla_{v}g|^{2})\mathrm{d}\mu\\ &\leq\rho_{wls}(\mu)\lambda^{2}\int(H^{-2\eta}|\nabla_{x}g|^{2}+|\nabla_{v}g|^{2})\mathrm{d}\mu_{1}.\end{split}

Now we verify the invariance of weighted Log-Sobolev constant, by which we extend weighted Log-Sobolev inequality (2.77) to the measure of tensorized form μN\mu^{\otimes N}.

Proposition 2.

Assume that μ1,μ2\mu_{1},\mu_{2} satisfy the weighted Log-Sobolev inequality (2.77) with constant ρwls(μ1)\rho_{wls}(\mu_{1}) and ρwls(μ2)\rho_{wls}(\mu_{2}), then μ1μ2\mu_{1}\otimes\mu_{2} satisfies

Entμ1μ2(f2)ρwlsi=12E1×E2(H2η(zi)|xif|2+|vif|2)dμ1μ2Ent_{\mu_{1}\otimes\mu_{2}}(f^{2})\leq\rho_{wls}\sum_{i=1}^{2}\int_{E_{1}\times E_{2}}(H^{-2\eta}(z_{i})|\nabla_{x_{i}}f|^{2}+|\nabla_{v_{i}}f|^{2})\mathrm{d}\mu_{1}\otimes\mu_{2} (2.83)

with ρwls=max{ρwls(μ1),ρwls(μ1)}\rho_{wls}=\max\{\rho_{wls}(\mu_{1}),\rho_{wls}(\mu_{1})\}.

Proof.

We denote

g2(z1)=E2f2(z1,z2)dμ2(z2),g^{2}(z_{1})=\int_{E_{2}}f^{2}(z_{1},z_{2})\mathrm{d}\mu_{2}(z_{2}),

and of course g0g\geq 0, then

Entμ1μ2(f2)=Entμ1(g2)+E1(E2f2(z1,z2)logf2(z1,z2)dμ2(z2)E2f2(z1,z2)dμ2(z2)logE2f2(z1,z2)dμ2(z2))dμ1(z1).\begin{split}Ent_{\mu_{1}\otimes\mu_{2}}(f^{2})=&Ent_{\mu_{1}}(g^{2})\\ +&\int_{E_{1}}\left(\int_{E_{2}}f^{2}(z_{1},z_{2})\log f^{2}(z_{1},z_{2})\mathrm{d}\mu_{2}(z_{2})\right.\\ &\left.-\int_{E_{2}}f^{2}(z_{1},z_{2})\mathrm{d}\mu_{2}(z_{2})\log\int_{E_{2}}f^{2}(z_{1},z_{2})\mathrm{d}\mu_{2}(z_{2})\right)\mathrm{d}\mu_{1}(z_{1}).\end{split}

Observe that

Eutμ2(f2)=E2f2(z1,z2)logf2(z1,z2)dμ2(z2)E2f2(z1,z2)dμ2(z2)logE2f2(z1,z2)dμ2(z2)ρwls(μ2)E2(H2η(z2)|x2f|2+|v2f|2)dμ2(z2).\begin{split}Eut_{\mu_{2}}(f^{2})=&\int_{E_{2}}f^{2}(z_{1},z_{2})\log f^{2}(z_{1},z_{2})\mathrm{d}\mu_{2}(z_{2})\\ &-\int_{E_{2}}f^{2}(z_{1},z_{2})\mathrm{d}\mu_{2}(z_{2})\log\int_{E_{2}}f^{2}(z_{1},z_{2})\mathrm{d}\mu_{2}(z_{2})\\ \leq&\rho_{wls}(\mu_{2})\int_{E_{2}}(H^{-2\eta}(z_{2})|\nabla_{x_{2}}f|^{2}+|\nabla_{v_{2}}f|^{2})\mathrm{d}\mu_{2}(z_{2}).\end{split}

Next we estimate Entμ1(g2)Ent_{\mu_{1}}(g^{2}),

Entμ1(g2)ρwls(μ1)E2(H2η(z1)|x1g|2+|v1g|2)dμ1(z1),\begin{split}Ent_{\mu_{1}}(g^{2})\leq\rho_{wls}(\mu_{1})\int_{E_{2}}(H^{-2\eta}(z_{1})|\nabla_{x_{1}}g|^{2}+|\nabla_{v_{1}}g|^{2})\mathrm{d}\mu_{1}(z_{1}),\end{split}

for terms on the right hand side, observe the weight H(z1)H(z_{1}) only concerns the first variable,

|Hη(z1)x1g|2=|Hη(z1)x1E2f2(z1,z2)dμ(z2)|2(E2f(Hη(z1)|x1f|)dμ(z2))2E2f2(z1,z2)dμ(z2),\begin{split}|H^{-\eta}(z_{1})\nabla_{x_{1}}g|^{2}&=\left|H^{-\eta}(z_{1})\nabla_{x_{1}}\sqrt{\int_{E_{2}}f^{2}(z_{1},z_{2})\mathrm{d}\mu(z_{2})}\right|^{2}\\ &\leq\frac{\left(\int_{E_{2}}f(H^{-\eta}(z_{1})|\nabla_{x_{1}}f|)\mathrm{d}\mu(z_{2})\right)^{2}}{\int_{E_{2}}f^{2}(z_{1},z_{2})\mathrm{d}\mu(z_{2})},\end{split}

and use Cauchy-Schwarz inequality, we have

|Hη(z1)x1g|2E2H2η(z1)|x1f|2dμ2(z2).|H^{-\eta}(z_{1})\nabla_{x_{1}}g|^{2}\leq\int_{E_{2}}H^{-2\eta}(z_{1})|\nabla_{x_{1}}f|^{2}\mathrm{d}\mu_{2}(z_{2}).

Similarly,

|v1g|2E2|v1f|2dμ2(z2),|\nabla_{v_{1}}g|^{2}\leq\int_{E_{2}}|\nabla_{v_{1}}f|^{2}\mathrm{d}\mu_{2}(z_{2}),

then we finish the proof. ∎

Corollary 3.

Assume that VV satisfies (i)(i) of Assumption 2, and WW satisfies Assumption 4, then ff_{\infty} satisfies weighted Log-Sobolev inequality (2.77). Moreover, fNf_{\infty}^{\otimes N} satisfies weighted Log-Sobolev inequality (2.77) with the same constant.

Proof.

According to Assumption 4, |W(x)|λ2|x||\nabla W(x)|\leq\frac{\lambda}{2}|x|, then we have

|W(x)||W(0)|+λ2|x|2,|W(x)|\leq|W(0)|+\frac{\lambda}{2}|x|^{2},

hence

|Wρ(x)|\displaystyle|W\ast\rho_{\infty}(x)| |W(0)|+|y|2f(y,v)dydv+λ2|x|2C+λ2|x|2,\displaystyle\leq|W(0)|+\int|y|^{2}f_{\infty}(y,v)\mathrm{d}y\mathrm{d}v+\frac{\lambda}{2}|x|^{2}\leq C+\frac{\lambda}{2}|x|^{2},

for some constant C>0C>0 with 𝔼ρ|x|2<\mathbb{E}_{\rho_{\infty}}|x|^{2}<\infty. By (i)(i) of Assumption 2 for VV, we have

aμfbμ,a\mu\leq f_{\infty}\leq b\mu, (2.84)

for some a,b>0a,b>0 and μ=1ZeV(x)12v2\mu=\frac{1}{Z}e^{-V(x)-\frac{1}{2}v^{2}}. Using Proposition 1, we obtain the weighted Log-Sobolev inequality for ff_{\infty}, then Proposition 2 makes sure the same fact about fNf_{\infty}^{\otimes N}. ∎

2.4 Large deviation estimates

In this subsection, we deal with the error terms we mentioned before. For relative entropy, we recall Lemma 1 and the error term reads as,

4σi=1N(Ω×d)NfNt|1Nj,jiK(xixj)Kρ(xi)|2dZ.\frac{4}{\sigma}\sum_{i=1}^{N}\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\bigg{|}\frac{1}{N}\sum_{j,j\neq i}K(x_{i}-x_{j})-K\star\rho_{\infty}(x_{i})\bigg{|}^{2}\mathrm{d}Z. (2.85)

For relative fisher information, we recall Corollary 2 and we estimate the following term,

(Ω×d)NfNtCR¯N,MtCudZ.\int_{(\Omega\times\mathbb{R}^{d})^{N}}f^{t}_{N}\langle C\overline{R}_{N},M_{t}Cu\rangle\mathrm{d}Z. (2.86)

Our main tool comes from Jabin-Wang’s large derivation type estimates for propagation of chaos for singular kernels in series of paper [26], [28]. We refer Theorem 3 in [26] or Theorem 3 and Theorem 4 in [28] to readers for more details to this kind of technique, now we apply it to our cases — bounded or lipschtiz kernels.

The following lemma gives more precise analysis to error term (2.86). Here we take C=(X,V)C=(\nabla_{X},\nabla_{V}).

Lemma 6.

Let M:Ω×d2Nd×2NdM:\Omega\times\mathbb{R}^{d}\rightarrow\mathbb{R}^{2Nd\times 2Nd} be a positive defined matrix function which takes as (2.62). Assume that E,F,GE,F,G are block diagonal positive defined matrices, i.e. E=diag{E1,,EN}E=\text{diag}\{E^{1},...,E^{N}\}, F=diag{F1,,FN}F=\text{diag}\{F^{1},...,F^{N}\} and G=diag{G1,,GN}G=\text{diag}\{G^{1},...,G^{N}\}, where Ei,FiE^{i},F^{i} and GiG^{i} are d×dd\times d positive defined matrices. Then we have

fNR¯N,Mui=1N4σfN|EiRN,i1|2+4σfN|(Fi)34RN,i1|2i=1Nγ22σ2fN|EiRN,i3|2+γ22σfN|FiRN,i3|2i=1Nγ22σ2fN|FiRN,i2|2+4γ2σ3fN|GiRN,i2|2+CKfN|EVu|2+(CK+12)fN|FVu|2+σ4fN|Vu|2+(CK+12)fN|EXu|2+14fN|FXu|2+i=1Nσ16fN|Eivixiu|2d2+σ16fN|(Fi)14viviu|2d2i=1NfNRN,i1,(viEi)xiu2dfNRN,i1,(viFi)viu2d.\begin{split}\int f_{N}\langle\nabla\overline{R}_{N},M\nabla u\rangle\leq&\sum_{i=1}^{N}\frac{4}{\sigma}\int f_{N}|\sqrt{E^{i}}R_{N,i}^{1}|^{2}+\frac{4}{\sigma}\int f_{N}|(F^{i})^{\frac{3}{4}}R_{N,i}^{1}|^{2}\\ &\sum_{i=1}^{N}\frac{\gamma^{2}}{2\sigma^{2}}\int f_{N}|\sqrt{E^{i}}R^{3}_{N,i}|^{2}+\frac{\gamma^{2}}{2\sigma}\int f_{N}|\sqrt{F^{i}}R^{3}_{N,i}|^{2}\\ &\sum_{i=1}^{N}\frac{\gamma^{2}}{2\sigma^{2}}\int f_{N}|\sqrt{F^{i}}R^{2}_{N,i}|^{2}+\frac{4\gamma^{2}}{\sigma^{3}}\int f_{N}|G^{i}R^{2}_{N,i}|^{2}\\ &+C_{K}\int f_{N}|\sqrt{E}\nabla_{V}u|^{2}+(C_{K}+\frac{1}{2})\int f_{N}|\sqrt{F}\nabla_{V}u|^{2}+\frac{\sigma}{4}\int f_{N}|\nabla_{V}u|^{2}\\ &+(C_{K}+\frac{1}{2})\int f_{N}|\sqrt{E}\nabla_{X}u|^{2}+\frac{1}{4}\int f_{N}|\sqrt{F}\nabla_{X}u|^{2}\\ &+\sum_{i=1}^{N}\frac{\sigma}{16}\int f_{N}|\sqrt{E^{i}}\nabla_{v_{i}}\nabla_{x_{i}}u|_{\mathbb{R}^{2d}}^{2}+\frac{\sigma}{16}\int f_{N}|(F^{i})^{\frac{1}{4}}\nabla_{v_{i}}\nabla_{v_{i}}u|_{\mathbb{R}^{2d}}^{2}\\ &-\sum_{i=1}^{N}\int f_{N}\langle R^{1}_{N,i},(\nabla_{v_{i}}E^{i})\nabla_{x_{i}}u\rangle_{\mathbb{R}^{2d}}-\int f_{N}\langle R^{1}_{N,i},(\nabla_{v_{i}}F^{i})\nabla_{v_{i}}u\rangle_{\mathbb{R}^{2d}}.\end{split} (2.87)

where σ\sigma is diffusion constant, CK=KLC_{K}=\|\nabla K\|_{L^{\infty}} and

RN,i1=1NjiK(xixj)Kρ(xi),R^{1}_{N,i}=\frac{1}{N}\sum_{j\neq i}\nabla K(x_{i}-x_{j})-\nabla K\star\rho_{\infty}(x_{i}), (2.88)
RN,i3=1Nj,jiK(xjxi)[vρv(vi)(vivj)],ρv(v)=fdx,\ \ \ R^{3}_{N,i}=\frac{1}{N}\sum_{j,j\neq i}\nabla K(x_{j}-x_{i})\cdot[v\ast\rho^{v}_{\infty}(v_{i})-(v_{i}-v_{j})],\ \ \rho^{v}_{\infty}(v)=\int f_{\infty}\mathrm{d}x, (2.89)
RN,i2=1NjiK(xixj)Kρ(xi).R^{2}_{N,i}=-\frac{1}{N}\sum_{j\neq i}K(x_{i}-x_{j})-K\star\rho_{\infty}(x_{i}). (2.90)
Remark 14.

Here we understand K\nabla K or RNX,i1R^{1}_{NX,i} as a d×dd\times d matrix, Kv\nabla K\cdot v and KK are dd dimensional vectors, we omit the summation about these components for convenience. The meaning of this lemma is to divide the error term of relative Fisher Information into L2L^{2} norm of RNi,i=1,2,3R_{N}^{i},i=1,2,3 and small terms we can absorb by negative part in (2.63).

Proof.

We directly compute R¯N\nabla\overline{R}_{N} and use the Young inequality. For each component ii in position direction, we have

xiR¯N=vilogf(xi,vi){1Nj=1,jiNK(xixj)Kρ(xi)}+xivilogf(xi,vi){1Nj=1,jiNK(xixj)Kρ(xi)}1Nj=1,jiNK(xjxi)vjlogf(xj,vj),\begin{split}\nabla_{x_{i}}\overline{R}_{N}&=\nabla_{v_{i}}\log f(x_{i},v_{i})\cdot\bigg{\{}\frac{1}{N}\sum_{j=1,j\neq i}^{N}\nabla K(x_{i}-x_{j})-\nabla K\star\rho(x_{i})\bigg{\}}\\ &\ \ \ +\nabla_{x_{i}}\nabla_{v_{i}}\log f(x_{i},v_{i})\cdot\bigg{\{}\frac{1}{N}\sum_{j=1,j\neq i}^{N}K(x_{i}-x_{j})-K\star\rho(x_{i})\bigg{\}}\\ &\ \ \ -\frac{1}{N}\sum_{j=1,j\neq i}^{N}\nabla K(x_{j}-x_{i})\cdot\nabla_{v_{j}}\log f(x_{j},v_{j}),\end{split} (2.91)

we denote these three lines above by

xiR¯N=vilogf(xi,vi)RN,i1+xivilogf(xi,vi)RN,i2+γσRN,i3,\nabla_{x_{i}}\overline{R}_{N}=\nabla_{v_{i}}\log f(x_{i},v_{i})\cdot R^{1}_{N,i}+\nabla_{x_{i}}\nabla_{v_{i}}\log f(x_{i},v_{i})\cdot R^{2}_{N,i}+\frac{\gamma}{\sigma}R^{3}_{N,i},

where

RN,i1={1Nj=1,jiNK(xixj)Kρ(xi)}\begin{split}R^{1}_{N,i}=\bigg{\{}\frac{1}{N}\sum_{j=1,j\neq i}^{N}\nabla K(x_{i}-x_{j})-\nabla K\star\rho_{\infty}(x_{i})\bigg{\}}\end{split}

is a d×dd\times d matrix,

RN,i2={1Nj=1,jiNK(xixj)Kρ(xi)}\begin{split}R_{N,i}^{2}=\bigg{\{}\frac{1}{N}\sum_{j=1,j\neq i}^{N}K(x_{i}-x_{j})-K\star\rho_{\infty}(x_{i})\bigg{\}}\end{split}

is a dd dimensional vector and

RN,i3=σγ1Nj=1,jiNK(xjxi)vjlogf(xj,vj)\begin{split}R^{3}_{N,i}&=-\frac{\sigma}{\gamma}\frac{1}{N}\sum_{j=1,j\neq i}^{N}\nabla K(x_{j}-x_{i})\cdot\nabla_{v_{j}}\log f(x_{j},v_{j})\end{split}

is a dd dimensional vector. Recall that we take MM as a block matrix

M=(EFFG),M=\left(\begin{array}[]{cc}E&F\\ F&G\end{array}\right),

and E,F,GE,F,G are d×dd\times d diagonal matrices. Hence, we use integral by parts for each component of the first term of (2.91), we have

i=1NfNvilogfRN,i1,Eixiu\displaystyle\sum_{i=1}^{N}\int f_{N}\langle\nabla_{v_{i}}\log f\cdot R_{N,i}^{1},E^{i}\nabla_{x_{i}}u\rangle (2.92)
=\displaystyle= i=1NfNviuRN,i1,Eixiu+i=1NfNvilogfNRN,i1,Eixiu\displaystyle-\sum_{i=1}^{N}\int f_{N}\langle\nabla_{v_{i}}u\cdot R_{N,i}^{1},E^{i}\nabla_{x_{i}}u\rangle+\sum_{i=1}^{N}\int f_{N}\langle\nabla_{v_{i}}\log f_{N}\cdot R_{N,i}^{1},E^{i}\nabla_{x_{i}}u\rangle
=\displaystyle= i=1NfNviuRN,i1,Eixiu+i=1NvifNRN,i1,Eixiu\displaystyle-\sum_{i=1}^{N}\int f_{N}\langle\nabla_{v_{i}}u\cdot R_{N,i}^{1},E^{i}\nabla_{x_{i}}u\rangle+\sum_{i=1}^{N}\int\langle\nabla_{v_{i}}f_{N}\cdot R^{1}_{N,i},E^{i}\nabla_{x_{i}}u\rangle
=\displaystyle= i=1NfNvi