Nonlinear limit for a system of diffusing particles which alternate between two states

Abstract

We study a system of particles and the nonlinear McKean-Vlasov diffusion that is its limit for weak interactions. Each particle switches between two states, both with their own diffusion dynamics. There is interaction, in particular, in the rates of the switches. We show existence and uniqueness for the system of particles by stopping-time techniques. For the nonlinear martingale problem, we use a time-change that allows us to return to a strong pathwise representation, and then we use a contraction argument for an appropriate metric. Finally, we show propagation of chaos.