Weak error analysis for a nonlinear SPDE approximation of the Dean-Kawasaki equation

Abstract

We consider a nonlinear SPDE approximation of the Dean-Kawasaki equation for independent particles. Our approximation satisfies the physical constraints of the particle system, i.e. its solution is a probability measure for all times (preservation of positivity and mass conservation). Using a duality argument, we prove that the weak error between particle system and nonlinear SPDE is of the order N−1−1/(d/2+1)log(N). Along the way we show well-posedness, a comparison principle and an entropy estimate for a class of nonlinear regularized Dean-Kawasaki equations with Itô noise. Keywords: Dean-Kawasaki equation, weak error analysis, Laplace duality