Sharp propagation of chaos for McKean-Vlasov equation with non constant diffusion coefficient

Abstract

We present a method to obtain sharp local propagation of chaos results for a system of N particles with a diffusion coefficient that it not constant and may depend of the empirical measure. This extends the recent works of Lacker [14] and Wang [24] to the case of non constant diffusions. The proof relies on the BBGKY hierarchy to obtain a system of differential inequalities on the relative entropy of k particles, involving the fisher information.