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Markov Transitions and the Propagation of Chaos
Alexander David Gottlieb
February 1, 2008
Abstract
The propagation of chaos is a central concept of kinetic theory that
serves to relate the equations of Boltzmann and Vlasov to the dynamics of
many-particle systems. Propagation of chaos means that molecular chaos,
i.e., the stochastic independence of two random particles in a many-particle
system, persists in time, as the number of particles tends to innity.
We establish a necessary and sucient condition for a family of general
n-particle Markov processes to propagate chaos. This condition is expressed
in terms of the Markov transition functions associated to the n-particle pro-
cesses, and it amounts to saying that chaos of random initial states propa-
gates if it propagates for pure initial states.
Our proof of this result relies on the weak convergence approach to the
study of chaos due to Sznitman and Tanaka. We assume that the space in
which the particles live is homeomorphic to a complete and separable metric
space so that we may invoke Prohorovs theorem in our proof.
We also show that, if the particles can be in only nitely many states,
then molecular chaos implies that the specic entropies in the n-particle
distributions converge to the entropy of the limiting single-particle distribu-
tion.
Contents
1 Introduction 2
1.1 Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 Denition of Propagation of Chaos and Statement of Main
Result . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2 Kinetic Theory and the Propagation of Chaos 10
2.1 Dilute Gases . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.1.1 Boltzmanns equation . . . . . . . . . . . . . . . . . . 11
2.1.2 Particle systems for Boltzmanns equation . . . . . . . 13
2.2 Plasmas and Stellar Systems . . . . . . . . . . . . . . . . . . 18
2.2.1 Vlasovs equation . . . . . . . . . . . . . . . . . . . . . 18
2.2.2 McKean-Vlasov particle systems . . . . . . . . . . . . 19
3 Chaos and Weak Convergence 23
3.1 Background . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
3.2 The Theorem of Sznitman and Tanaka . . . . . . . . . . . . . 26
3.3 Chaos on Finite Sets . . . . . . . . . . . . . . . . . . . . . . . 31
4 Propagation of Chaos 35
4.1 Preliminaries . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
4.2 Lemmas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
4.3 Theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
5 Conclusion 46
1
Chapter 1
Introduction
1.1 Overview
Kinetic theory is the analysis of nonequilibrium physical phenomena that
emerge from the collective behavior of large numbers of particles. That anal-
ysis is accomplished by the techniques of probability theory; kinetic theory
has an inherently statistical character. One of the notions of probability the-
ory from which one can derive Boltzmanns equation and Vlasovs equation,
two staples of kinetic theory, is the propagation of chaos.
The concept of propagation of chaos originated with Kacs Markovian
models of gas dynamics [16]. Kac invented a class of interacting particle
systems wherein particles collide at random with each other while the density
of particles evolves deterministically in the limit of innite particle number.
A nonlinear evolution equation analogous to Boltzmanns equation governs
the particle density. Gr unbaum proved the propagation of chaos along Kacs
lines for the spatially homogeneous Boltzmann equation given existence and
smoothness assumptions on the Boltzmann semigroup [15]. The processes
of Kac were further investigated with regard to their uctuations about the
deterministic innite particle limit in [23, 39, 40].
McKean introduced propagation of chaos for interacting diusions and
analyzed what are now called McKean-Vlasov equations [21, 22]. Indepen-
dently, Braun and Hepp [5] analyzed the propagation of chaos for Vlasov
equations and proved a central limit theorem for the uctuations. Anal-
ysis of the uctuations and large deviations for McKean-Vlasov processes
was carried out in [38, 35, 8]. Chorin [6] created a numerical method for the
two dimensional Navier-Stokes equation by interleaving independent random
walks into the discretized dynamics of interacting vortex blobs, smoothed and
2
localized patches of vorticity that move without changing shape. Propaga-
tion of chaos has been studied in connection with this random vortex method
by [20, 27, 25]. Other instances of the propagation of chaos have been stud-
ied in [26, 30, 31, 14]. A thorough analysis of the convergence of numerical
schemes based on stochastic particle methods for McKean-Vlasov equations
in one dimension is undertaken in [4, 37].
Finally, we refer the reader to the long, informative articles by Sznit-
man [36] and by Meleard [24] in Springer-Verlags Lecture Notes in Mathe-
matics.
The aforementioned authors are mostly concerned with proving that
specic systems propagate chaos, rather than the propagation of chaos per
se. The modest purpose of this dissertation is to clarify the denition of
propagation of chaos in general, and not to prove that any particular system
propagates chaos. The essential content of this dissertation is Denition 4.1
and Theorem 4.2 of Chapter 4.
This dissertation is organized as follows.
The rest of Chapter 1 is an informal summary of our point of view and
contains a statement of our main theorem. We introduce general Marko-
vian interacting particle systems and adopt a strong-sense denition of the
propagation of chaos. We can then characterize the propagation of chaos in
terms of the Markov transition functions that dene the interacting particle
systems.
Chapter 2 describes the most important instances of the propagation of
chaos. The concept of propagation of chaos is most useful in (and was indeed
motivated by) the kinetic theories of gases, plasmas, and stellar systems.
Boltzmanns equation for dilute gases is discussed in Section 2.1 and Vlasovs
equation for plasmas and stellar systems is discussed in Section 2.2.
Chapters 3 and 4 are meant to be self-contained, formal, and brisk. They
contain the necessary background and the proofs of the theorems that ow
from the point of view described in Section 1.2.
Chapter 3 discusses the theorem of Sznitman and Tanaka, which is our
main technical tool. A detailed proof of this theorem is given in Section 3.2.
Theorem 3.5 states that, if the underlying space is nite, p-chaos entails the
convergence of specic entropy to the entropy of p.
Chapter 4 is dedicated to the proof of our main theorem and its corol-
laries. Although the theorems there are neither deep nor surprising, they
should still be of interest to those who work with the propagation of chaos
because they establish properties of the propagation of chaos which, though
easy to take for granted, do require some proof. The proofs rely on the the-
orem of Sznitman and Tanaka and basic properties of convergence in law.
3
Our main theorem requires the completeness of the basic space so that we
may invoke Prohorovs theorem in its proof.
This work was supported by the U.S. Department of Energy at the
Lawrence Berkeley National Laboratory, at the Mathematics Department,
under Alexandre Chorin.
1.2 Denition of Propagation of Chaos and State-
ment of Main Result
Statistical mechanics and kinetic theory are probabilistic theories of many-
body systems; their predictions are intended to be valid only when the num-
ber of particles is very large, typically as large as Avogadros number. The
equations of kinetic theory are obtained by studying the limiting behavior
of n-particle systems as n tends to innity. A key concept in such studies is
the propagation of chaos.
The concept of propagation of chaos was motivated originally by the
kinetic theories of gases and plasmas. Before we delve into these kinetic
theories, we rst set up, in this section, a very general framework for the
study of interacting particle systems and the propagation of chaos.
Our particles shall live in a space S. For gases and plasmas S would
be position-velocity space, a subset of R
6
, but for our general purposes S
may be any separable metric space. The state of an n-particle system is
a point in S
n
, the n-fold Cartesian product of S with itself, also a metric
space. Whether the dynamics of the n-particle system are deterministic or
random, we desire that the future motion of a system of particles depend
only on its current state, and not the entire history of the particles motion.
We stipulate that the n-particle dynamics are Markovian; the future depends
on the past only through the present state. Markovian processes are dened
by their transition functions, so our data includes one transition function
K
n
(s, B, t) for each n. That is, for each n, we are given the transition
function
K
n
: S
n
B
S
n [0, ) [0, 1],
where B
S
n is the Borel -algebra on S
n
. The transition functions K
n
have
the following interpretation. For t 0, s S
n
, and B B
S
n, the probability
that the state at time t of an n-particle system belongs to B, given that the
state was initially s, is K
n
(s, B, t). The Markov property implies that the
4
transition functions satisfy the Chapman-Kolmogorov equations:
K
n
(s, B, t +t

) =
_
S
n
K(s, ds

, t

)K(s

, B, t)
for all t, t

0, s S
n
, and B B
S
n.
We restrict our consideration to n-particle systems whose dynamics com-
mute with permutations by imposing the following conditions on the tran-
sition functions. Let
n
denote the set of permutations of 1, 2, . . . , n. If

n
and s = (s
1
, s
2
, . . . , s
n
) S
n
, let
s = (s
(1)
, s
(2)
, . . . , s
(n)
),
and, for B S
n
, let
B = s : s B .
We suppose that the transition functions satisfy
K
n
(s, B, t) = K
n
( s, B, t) (1.1)
for all permutations , points s, Borel sets B, and times t.
Here, then, is the set-up. A separable metric space S is given, along with
a sequence
K
n
(s, B, t)

n=1
of Markov transition functions that satisfy the permutation condition (1.1),
K
n
being a transition function on S
n
. We have a Markovian dynamics of
n particles, an n-particle system, for each n. Propagation of chaos, dened
shortly, is an attribute of families of particle systems, indexed by n; a family
of n-particle systems either does or does not propagate chaos.
In order to dene the propagation of chaos we must rst dene the
property of being chaotic chaos for short. For each n, let
n
be a
symmetric probability measure on S
n
, i.e., a probability measure on S
n
such that

n
( B) =
n
(B)
for all permutations and all B B
S
n. Let be a probability measure on
S.
5
Denition: The sequence
n
is -chaotic if, for any natural number k
and any bounded continuous functions g
1
(s), g
2
(s), . . . , g
k
(s) on S,
lim
n
_
S
n
g
1
(s
1
)g
2
(s
2
) g
k
(s
k
)
n
(ds
1
ds
2
ds
n
) =
k

i=1
_
S
g
i
(s)(ds).
In words, a sequence probability measures on the product spaces S
n
is
-chaotic if, for xed k, the joint probability measures for the rst k coordi-
nates tend to the product measure (ds
1
)(ds
2
) (ds
k
)
k
on S
k
. If
the measures
n
are thought of as giving the joint distribution of n particles
residing in the space S, then
n
is -chaotic if k particles out of n become
more and more independent as n tends to innity, and each particles dis-
tribution tends to . A sequence of symmetric probability measures on S
n
is chaotic if it is -chaotic for some probability measure on S.
If a Markov process on S
n
begins in a random state with distribution
n
,
the distribution of the state after t seconds of Markovian random motion can
be expressed in terms of the transition function K
n
for the Markov process.
The distribution at time t is the probability measure U
n
t

n
dened by
U
n
t

n
(B) :=
_
S
n
K
n
(s, B, t)
n
(ds) (1.2)
for all B B
S
n. If K
n
satises the permutation condition (1.1) then U
n
t

n
is symmetric whenever
n
is.
Denition: A sequence
K
n
(s, B, t)

n=1
whose n
th
term is a Markov transition function on S
n
that satises the
permutation condition (1.1) propagates chaos if, whenever
n
is chaotic
so is U
n
t

n
for any t 0, where U
n
t
is as dened in (1.2).
We sometimes say that a family of n-particle Markov processes propa-
gates chaos when we really mean that the associated family of transition
functions propagates chaos.
It follows from the denition of propagation of chaos that for each t > 0
there exists an operator U

t
on probability measures such that U
n
t

n
is
U

t
-chaotic if
n
is -chaotic. This operator is typically nonlinear; even
though U

t
is derived from the linear operators U
n
t
by taking a limit of
sorts, it is not actually a limit of linear operators, and may be nonlinear.
For families of interacting particle systems suited to the study of gases or
6
plasmas, the semigroup U

t

t0
is the semigroup of solution operators for
the Boltzmann or the Vlasov equation. (The existence of the operators U

t
is part of our main theorem, stated shortly.)
We are adopting here a strong denition of the propagation of chaos.
Other authors [24, p. 42][29, p. 98] have dened propagation of chaos in a
weaker sense: a family of Markovian n-particle processes propagates chaos
if U
n
t

n
is chaotic for all T(S) and t > 0, where
n
is product
measure on S
n
. For these authors, only purely chaotic sequences of initial
measures are required to propagate to chaotic sequences. This condition
is strictly weaker than the one we adopt for our denition. For example,
take S = 0, 1 and let (x) or
x
denote a point mass at x. Then, if
K
n
(s, , t) =
_

(1,1,... ,1)
if s ,= (0, 0, . . . , 0)

(0,0,... ,0)
if s = (0, 0, . . . , 0)
for all t > 0, the sequence K
n
propagates chaos in the weak sense, but not
in the strong sense of our denition. Under these K
n
s, the (0)-chaotic se-
quence
(0,0,... ,0)
is propagated to itself, while other (0)-chaotic sequences
are propagated to (1)-chaotic sequences, and yet other (0)-chaotic se-
quences are not propagated to chaotic sequences at all.
Our main result is a condition on the Markov transition functions for a
family of n-particle processes that is necessary and sucient for the prop-
agation of chaos (in the strong sense). Before we state it we must recall
the weak topology on probability measures and introduce some necessary
notation.
If X is a completely regular topological space (as normal topological
spaces are), let T(X) denote the space of probability measures on X endowed
with the weakest topology relative to which all the functions I
g
: T(X) R
are continuous, where
I
g
() =
_
X
g(x)(ds)
and g ranges over the bounded and continuous real-valued functions on X.
A sequence
n
in T(X) converges to in this weak topology if
_
X
g(x)
n
(ds)
_
X
g(x)(dx)
for all g C
b
(X), the space of bounded and continuous real-valued functions
on X.
7
For a measure on S
n
, let denote its symmetrization: for all B B
S
n,
(B) =
1
n!

n
( B).
For xed s S
n
and t 0, denote by

K
n
(s, , t) the symmetrization of the
measure K
n
(s, , t).
For
s = (s
1
, s
2
, . . . , s
n
) S
n
,
let
n
(s) denote the purely atomic probability measure

n
(s) =
1
n
n

i=1
(s
i
) , (1.3)
where (s) Diracs delta denotes a point-mass at s. The function
n
takes ordered n-tuples to purely atomic probability measures consisting of
n point-masses of weight
1
n
each.
We can now state our main theorem.
Main Theorem: Let S be a complete, separable metric space. Let the
Markov transitions K
n
satisfy the permutation condition (1.1).
Propagation of chaos by the sequence K
n
is equivalent to the following
condition:
For every t > 0 there exists a continuous map
U

t
: T(S) T(S)
such that, if the sequence
s
1
S, s
2
S
2
, s
3
S
3
, . . .
is such that
n
(s
n
)

n=1
converges to in T(S), then the sequence of sym-
metric measures
_

K
n
(s
n
, , t)
_

n=1
is U

t
-chaotic.
The necessity of the condition of the preceding theorem is an easy conse-
quence of the denition; its suciency is nontrivial. Our theorem shows that
to prove propagation of chaos it is sucient to verify that U
n
t

n
is chaotic
8
when the initial measures
n
T(S
n
) are symmetric atomic measures of the
form

n
=
1
n!

n
( s
n
); s
n
S
n
. (1.4)
This sucient condition can come in handy. In 1977, Braun and Hepp [5]
proved the propagation of chaos for Vlasovs equation, provided the initial
conditions are pure initial states of the form (1.4). Sznitman [35], in
1983, noted that Braun and Hepp require purely atomic initial data to
propagate their chaos, implicitly suggesting that this restriction to special
initial conditions weakens their result. Our theorem shows that it did indeed
suce for Braun and Hepp to verify propagation of chaos for purely atomic
initial data.
The theorem is proved by expressing chaos in terms of weak convergence
of probability measures in T(T(S)) and then applying Prohorovs theorem.
Prohorovs theorem [1] states that a family T of probability measures on
a complete and separable metric space is relatively compact if and only if
T is tight. Our hypothesis that S is complete ensures that T(S) is also
complete and enables us to apply Prohorovs theorem in T(T(S)). Chapter
4 is devoted to the proof of the theorem.
The study of chaos via weak convergence in the space T(T(S)) is due to
Sznitman [34] and Tanaka [38]. They proved that a sequence of symmetric
measures
n
is -chaotic if and only if the probability measures induced
on T(S) by
n
converge in T(T(S)) to (), a point mass at T(S). This
device is essential to our approach and is discussed at length in Chapter 3.
9
Chapter 2
Kinetic Theory and the
Propagation of Chaos
Boltzmanns equation for dilute gases and Vlasovs equation for plasmas
govern the evolution, the change over time, of the density of particles in
position-momentum space. The particle density changes due to interactions
between the particles: binary collisions of molecules in a dilute gas or mu-
tual electric forces acting between ions in a plasma. The rate of change of
the particle density is determined by the particle density itself through the
particle interactions. The evolution equations of Boltzmann and Vlasov are
nonlinear because of the way the particle density aects its own evolution.
This chapter reviews the equations of Boltzmann and Vlasov for the
sake of illuminating the meaning and physical relevance of the propagation
of chaos. One may consult [33] for a more thorough treatment of kinetic
theory.
Section 2.1 presents the theory of dilute gases from the point of view
of the propagation of chaos. First, the classic derivation of Boltzmanns
equation is repeated in 2.1.1. Then, in 2.1.2, two types of n-particle systems
are introduced that satisfy Boltzmanns equation in the innite particle
limit.
Section 2.2 is about Vlasovs equation for plasmas and stellar systems.
Vlasovs equation is introduced in 2.2.1 and rederived in terms of the prop-
agation of chaos in 2.2.2.
2.1 Dilute Gases
10
2.1.1 Boltzmanns equation
In this section we summarize Boltzmanns derivation of his equation for a
dilute gas. Our source is the rst chapter of his Lectures on Gas Theory [3],
written over a century ago.
Boltzmann modeled the molecules of the gas by hard spheres: balls of
radius r that collide elastically according to simple mechanics. When a
ball having velocity v collides with a ball having velocity w, the collision
instantaneously changes the velocity of the rst ball from v to v

and the
velocity of the second ball from w to w

. Given the relative orientation of

the balls at the time of impact, the, post-collisional or outgoing velocities are
determined by the laws of conservation of energy and momentum. Suppose
that, at the moment of impact, l is the unit vector parallel to the ray that
originates at the center of the ball of velocity v and passes through the
center of the ball of velocity w. Such a collision, which we call a (v, w : l)
collision, changes the velocities of the balls to
v v

= v + [(wv) l]l
w w

= w[(wv) l]l.
(2.1)
A collision of type (v, w : l) is only possible if (wv) l < 0. Except during
collisions, which have instantaneous duration, molecules (hard spheres in
this model) travel inertially, with unchanging velocity. Let n denote the
number of molecules in the gas, and let the number of molecules per unit
volume of position-momentum space be given by the density
f(x, v, t)dxdv,
so that the proportion of molecules which, at time t, are located in a region
X of space and have velocities belonging to a set V of velocities is
1
n
_
V
_
X
f(x, v, t)dxdv.
Boltzmanns equation tells how f(x, v, t) changes due to the collisions de-
tailed above.
The density f(x, v, t)dxdv of molecules changes through the inertial mo-
tion of the molecules between collisions (called free streaming) and through
collisions between molecules. Boltzmanns equation can be written

t
f(x, v, t) = v
x
f(x, v, t) +Q[f(x, v, t)],
11
where v
x
f gives the rate of change of f due to free streaming, and Q[f],
the collision operator applied to f, gives the rate of change of the density
due to collisions.
Further assumptions are needed to determine Q[f], the rate of change of
f(x, v, t) due to collisions. We know the eect of a (v, w : l) collision, but we
also need to know the rate at which those collisions are occurring. Boltzmann
assumed that the rate at which (v, w : l) collisions are happening at a point
x of space is proportional to r
2
|(wv) l| and jointly proportional to the
densities at x of molecules having velocities v and w. These assumptions
are the Stosszahlansatz, or collision-number-hypothesis: the rate of (v, w : l)
collisions at x is
r
2
|(wv) l|f(x, v, t)f(x, w, t). (2.2)
The rate of change of f(x, v, t) due to collisions, Q[f], equals the rate
at which the molecules are receiving post-collisional velocities v less the
rate at which molecules already having velocity v are colliding with other
molecules and exchanging v for other velocities. The loss rate is easy to
express, assuming the Stosszahlansatz:
L[f] :=
r
2
2
_
R
3
_
S
2
f(x, v, t)f(x, w, t)|(w v) l|dldw, (2.3)
where S
2
is the unit sphere in R
3
and dl indicates the normalized and uniform
measure on the sphere S
2
, is the number of molecules per unit volume at
x of velocity v that will collide with other molecules between times t and
t + t, divided by t.
There is a similar expression for the gain rate at which collisions are
resulting in molecules having velocity v. Observe that a binary collision
can only produce a post-collisional, or outgoing, velocity v if the velocities
before collision were v+((wv) l)l and w((wv) l)l for some w. Let
v

= v + ((wv) l)l
w

= w((wv) l)l.
The number of molecules per unit volume that will end up having velocity
v because of a collision that took place between times t and t +t, divided
by t, equals
G[f] :=
r
2
2
_
R
3
_
S
2
f(x, v

, t)f(x, w

, t)|(wv) l|dldw. (2.4)

12
In fact, v

= v

and w

= w

; if a (v, w : l) collision changes v to v

and w
to w

, then a (v

, w

: l) collision changes v

to v and w

to w. It is only a
lucky accident that v

= v

, so we emphasize, by introducing new notation,

that v

and w

are supposed to be velocities for which a (v

, w

: l) collision
results in a velocity v.
The net rate of change of f(x, v, t) due to collisions equals the gain rate
minus the loss rate: Q[f] = G[f] L[f]. Boltzmanns equation is thus

t
f(x, v, t) +v
x
f(x, v, t) = G[f(x, v, t)] L[f(x, v, t)], (2.5)
where G[f] and L[f] are as dened in (2.4) and (2.3).
The existence of solutions of Boltzmanns equation (2.5) is dicult to
prove. The state of the art is the global existence of mild solutions proved
by Di Perna and Lions [9].
2.1.2 Particle systems for Boltzmanns equation
Kac [17], in his article Foundations of Kinetic Theory of 1954, propounds the
relationship between Boltzmanns equation and certain n-particle Marko-
vian jump processes. These n-particle systems are inherently stochastic;
the collisions have random results and happen at random times. The dy-
namics are not the true dynamics of deterministically colliding molecules,
rather, the stochastic motion of ctitious particles which obey the spatially
homogeneous Boltzmann equation on the macroscopic level.
The spatially homogeneous Boltzmann equation is the equation satised
by a position-velocity density that does not depend on position: f(v)dv. So
Kac imagines a gas of n particles on the line, particles whose positions are
unimportant and are not given, but whose velocities
v
1
, v
2
, . . . , v
n
; v
i
R (2.6)
completely specify the state of the gas. Kac proposes a stochastic dynamics
of these states driven by collisions between pairs of particles. Suppose that
the state is initially given by the list (2.6). At a random time, a collision
occurs. A collision changes the values of a random pair of the n velocities
in the list, at random. Once the state of the gas has jumped to a new state
due to a collision, another random time elapses, another collision occurs,
and so forth. The random times are taken to be independent and to have
exponential distributions with mean duration /n; the probability that a
collision happens later than t seconds after the previous collision is e
nt/
.
Notice that the more particles there are, the faster collisions are occurring.
13
Each collision only aects the velocities of two particles, the aected pair
being selected at random from one of the n(n1)/2 possible pairs of parti-
cles. Given that a pair of particles having velocities v and w collide, those
two velocities change to another pair v

and w

satisfying the conservation

of energy condition
(v

)
2
+ (w

)
2
= v
2
+w
2
,
but otherwise at random, so that (v

, w

) is randomly sampled from the

uniform probability measure on the circle
_
(v

, w

) : (v

)
2
+ (w

)
2
= v
2
+w
2
_
.
Kacs n particle gas is thus a Markov jump process on R
n
, for each n.
In [16, 17], Kac proves that this family of n-particle gases propagates
chaos. Indeed, the exact denition of chaos as the asymptotic independence
of particles is due to Kac. The notion of chaos originates in Boltzmann [3],
who derived his equation under a hypothesis of molecular disorder (chaos).
Kac proved that if the particles of each n-particle gas initially have in-
dependent and f
0
(v)dv-distributed velocities, then at a later time t the ve-
locities of a random pair become increasingly independent as n , even
though the initial condition of pure independence or molecular chaos has
been spoiled by collisions. The random velocity of a single particle at time
t becomes increasingly f(v, t)-distributed as n , where f(v, t) satises
an analog of Boltzmanns equation, namely,

t
f(v, t) =
2

_
R
_
2
0
f(v cos wsin )f(v sin +wcos )ddw f(v)
f(v, 0) = f
0
(v).
Indeed, the sequence of n-particle joint distributions at time t is f(v, t)dv-
chaotic.
Similar procedures yield particle systems for the spatially homogeneous
Boltzmann equation [17]. The spatially homogeneous Boltzmann equation
14
for hard spheres of radius r is

t
f(v, t) = G[f(v, t)] L[f(v, t)]
G[f] =
r
2
2
_
R
3
_
S
2
f(v

, t)f(w

, t)|(w v) l|dldw
L[f] =
r
2
2
_
R
3
_
S
2
f(v, t)f(w, t)|(w v) l|dldw,
(2.7)
where dl is normalized surface area on the sphere S
2
, and
v

= v + ((wv) l)l
w

= w((wv) l)l.
(2.8)
One may devise several n-particle jump processes for the Boltzmann equa-
tion. Gr unbaum [15] suggests one with a three-stage random mechanism for
making jumps: given that the initial state of the gas or the state it has just
jumped to is
(v
1
, v
2
, . . . , v
n
); v
i
R
3
,
1) Select two distinct particles at random (equiprobably), say the i
th
and
j
th
particles where i < j.
2) If v
i
= v
j
select another pair. Otherwise wait for an exponentially
distributed random time of mean duration |v
i
v
j
|/(n 1).
3) Jump to (v
1
, . . . , v

i
, . . . , v

j
, . . . , v
n
) with probability proportional to
(v
i
v
j
)l
v
i
v
j

, where v

i
, v

j
, and l are as in (2.8).
Note that the jumps speed up as the number of particles increases so that the
number of jumps per particle per unit time is roughly constant. Gr unbaum
proves that this family of n-particle processes propagates chaos and that the
limit satises (2.7) under certain assumptions [15]. His proof relies on the
theory of strongly continuous contraction semigroups.
Other jump processes similar to those of Kac have been treated by several
authors. Uchiyama [40] proves propagation of chaos and a central limit
theorem for families of Kac-type processes, on countable sets of velocities.
Rezakhanlou and Tarver [31] prove an interesting propagation of chaos result
for the discrete Boltzmann equation in one dimension. Their particles travel
15
with constant velocities around a circle in between random collisions that
become increasingly local as the number of particles increases. Graham and
Meleard [24] prove the propagation of chaos for a variant of the Boltzmann
equation with nonlocal collisions. Particles experience random Kac-type
collisions, but do not need to be at the same spatial location in order to
collide. Birds numerical scheme for Boltzmanns equation [2] amounts to
the simulation of one of the processes studied by Graham and Meleard.
The jump processes of Kac et alia are intrinsically stochastic, for col-
lisions happen at random and have random results. On the other hand,
the dynamics of real molecules are strictly deterministic, or are classically
conceived to be such. Our idealized model for molecular dynamics, the hard
sphere model, admits no randomness at all. When two particles collide,
their outgoing velocities are determined by their incoming velocities and
their attitude at collision. (It is true that the outcome of a simultaneous
collision of three or more spheres may not be determined, but in a dilute
enough hard sphere gas these collisions are so rare that they have negligible
eect.) Since Boltzmanns equation is supposed to govern the macroscopic
behavior of the density of a hard sphere gas, it ought to be derivable some-
how from the deterministic dynamics of hard spheres. But alas, it would
appear that the Boltzmann equation is not even consistent with molecular
dynamics, much less derivable from it, for the molecular dynamics are re-
versible and Boltzmanns equation is irreversible. This apparent antinomy,
known as Loschmidts paradox, has been raising deep concerns about the
validity of Boltzmanns equation for nearly as long as that equation has
been known. It is therefore surprising and philosophically signicant that
(notwithstanding Loschmidts paradox) Boltzmann dynamics can indeed be
derived from molecular dynamics.
Grad [13] rst advanced the idea that Boltzmanns equation may be
derived in the dilute limit
nr
2
constant
of hard sphere dynamics, and Lanford [18] succeeded in a rigorous deriva-
tion of Boltzmanns equation along the lines suggested by Grad. Lanfords
theorem can be neatly expressed in terms of of chaos. This approach can
be found in The Mathematical Theory of Dilute Gases by Cercignani, Illner,
and Pulvirenti [7](pp. 90-93), who emphasize that the theorem of Lanford
constitutes a validation of Boltzmanns equation from the fundamental prin-
ciples of molecular dynamics.
Let us describe Lanfords result.
16
Consider the deterministic dynamics of n hard spheres of radius
1

n
.
The phase space is formed by excising the points of (R
6
)
n
that represent
congurations in which two or more spheres would overlap. The set of all
initial congurations that lead to simultaneous collisions of three or more
particles or to innitely many collisions in nite time has measure zero
and can be ignored. The trajectories through phase space are determined
by the free motion of the spheres between collisions and the rule (2.1) for
binary collisions. When a trajectory hits a boundary point of the phase
space, i.e., when a collision occurs, the trajectory continues from the unique
boundary point that the rule of elastic collision associates to it. This denes
the deterministic dynamics of a dilute gas of n hard spheres of radius
1

n
.
Increasing n increases the number of particles but decreases the density,
whence the term dilute limit.
Lanfords theorem states (roughly) that there exists > 0 on the order
of the mean free time such that, if the initial n-particle densities are f
0
-
chaotic in a very strong sense , then the densities at a later time t are
f
t
chaotic, where f
t
is a mild solution of the Boltzmann equation with initial
data f
0
. The hypotheses on the initial data are that the k-marginals of the
symmetric n-particle distributions are absolutely continuous with continuous
densities, and those densities satisfy a growth bound depending on k and
converge uniformly on compact sets to f
k
0
in the dilute limit n . This
hypothesis on the initial data is stronger than mere chaos, and Lanfords
theorem asserts that such strong initial chaos is propagated. The n-particle
densities at a later time will be chaotic, says Lanfords theorem, but typically
not chaotic in the same strong sense as were the initial densities. This
loss of convergence quality is what permits the Boltzmann equation to be
irreversible even though it is derived from reversible dynamics [7, p. 97].
Lanfords theorem says that chaos is propagated, but only if the ini-
tial densities converge uniformly on compact sets, et cetera. This kind of
propagation of chaos diers from propagation of chaos as dened in this
dissertation; it has to do with subtler properties of uniform and pointwise
convergence of densities rather than simple weak convergence of distribu-
tions. We remark that the hard sphere gases of Grad and Lanford do not
propagate chaos in our sense, nor do they satisfy the conclusions of our
theorems about families of Markov processes that propagate chaos.
17
2.2 Plasmas and Stellar Systems
This section contains an account of the propagation of chaos for the Vlasov
equation.
2.2.1 Vlasovs equation
Vlasovs equation [5, 33] is another important equation of kinetic theory.
It governs the density in position-velocity space of particles that interact
(without colliding) through long-range forces such as the electric forces be-
tween ions in a plasma or the gravitational attraction between stars in a
galaxy.
Suppose, for simplicity, that all particles in the system are of the same
species, each having mass m, and let F(x) denote the force that a particle
at the origin would exert on a particle at x. For example, the force F(x)
is proportional to x/|x|
3
if the particles are electrons, and proportional to
m
2
x/|x|
3
if the particles are stars. If f(x, v, t)dxdv denotes the number
of particles per unit volume near (x, v) at time t, we nd that the net force
on a particle at x is
F
f
(x) :=
_
R
3
F(x x

)f(x

, v

, t)dx

dv

. (2.9)
The particle density f(x, v, t) changes through the motion of particles sub-
ject to the force eld F
f
(x).
Vlasovs equation for the density is

t
f(x, v, t) = v
x
f(x, v, t)
1
m
F
f
(x)
v
f(x, v, t), (2.10)
where the net force eld F
f
(x), dened in equation (2.9), depends on the
particle density f itself. This is just an advection equation for the ow on
(x, v)-space given by the time dependent ux (v, F(x)), with the require-
ment that F equals F
f
, i.e., the ux function at time t is determined through
(2.9) by the solution at time t of the advection equation itself.
The preceding is a heuristic derivation of Vlasovs equation from the
smoothed dynamics of a large but xed number of particles. Vlasovs equa-
tion may be derived rigorously from the true dynamics of interacting particle
systems, in the limit of innite particle number. This rigorous derivation is
the content of the theorems, stated in the next section, on the propagation
of chaos for Vlasov and McKean-Vlasov equations.
Propagation of chaos claries the relationship between the Vlasov equa-
tion and the dynamics of gravitational systems and plasmas.
18
Imagine n particles of mass
1
n
following the classical n-body evolution.
As the number of particles tends to innity and the initial distribution of
particles approaches a distribution f(x, v, 0)dxdv of mass, Vlasovs equation
is an increasingly correct description of the evolution of the mass density.
The mass density follows equation (2.10) with m set to 1 and with F(x)
redened as the gravitational force on a test particle of unit mass at x due
to a particle of unit mass at the origin.
It is a little tougher to obtain a macroscopic equation for the density of
charge in the limit of innitely many ions. A k-fold increase of the number
of electrons (say) in a plasma increases the forces by a factor of k
2
and the
system becomes too energetic in the limit n . Vlasov dynamics can
only result from proper scaling of mass and/or time. One possibility is to
imagine n electrons of mass n each. In the limit n , the density of
charge in position-velocity space satises equation (2.10), mutatis mutandis.
An alternative scaling is found in [5]: Consider the dynamics of n ions of
mass
1
n
each. As n-tends to innity, and time is slowed as
1
n
, one obtains a
Vlasov equation for the density in position-momentum space.
2.2.2 McKean-Vlasov particle systems
We begin with a statement of the propagation of chaos for Vlasovs equation.
It is assumed that the interparticle force is bounded and globally Lipschitz,
an assumption that excludes the physical inverse-square forces of gravita-
tional systems and plasmas. One way around this diculty is to assume
that the system is so dilute that particles never get too close to one another.
The interparticle force could then be replaced with one without the singu-
larity at zero distance that is still inversely proportional to the square of the
distance between particles when that distance is not too small.
Let F : R
6
R
6
be bounded and Lipschitz. For each n, dene a
deterministic n-particle process in R
6
by the following system of ordinary
dierential equations (ODEs):
d
dt
x
n
i
(t) = v
n
i
(t)
d
dt
v
n
i
(t) =
1
n
n

j=1
F(x
n
i
x
n
j
)
(2.11)
for i = 1, 2, . . . , n. Braun and Hepp [5] prove that if the initial conditions
x
n
1
(0), v
n
1
(0), x
n
2
(0), v
n
2
(0), . . . , x
n
n
(0), v
n
n
(0)
19
are such that
1
n
n

i=1

(x
n
i
(0),v
n
i
(0))

0
T(R
6
),
then, for each t > 0,
1
n
n

i=1

(x
n
i
(t),v
n
i
(t))

t
,
where
t
T(R
6
) is the weak solution at time t of the Vlasov equation

t
f(x, v, t) = v
x
f(x, v, t) F
f
(x)
v
f(x, v, t)
F
f
(x) =
_
R
3
F(x x

)f(x

, v

, t)dx

dv

0
= f(x, v, 0)dxdv.
(2.12)
Thanks to our Corollary 4.2, this theorem of Braun and Hepp implies
that the family of n-particle processes (2.11) propagates chaos. The fact
that the result of Braun and Hepp implies the propagation of chaos is also
noted in [29, p. 99].
The deterministic particle systems (2.11) may be generalized to interact-
ing diusions. A diusion is a Markov process with continuous trajectories,
like the solution of a stochastic dierential equation. McKean [22] initiated
the study of propagation of chaos for diusions and what is now called the
McKean-Vlasov equation.
Let v : R
d
R
d
R
d
and : R
d
R
d
R be bounded and
globally Lipschitz. For each n, consider the system of n stochastic dierential
equations (SDEs)
dX
n
i
=
_
_
_
1
n
n

j=1
v(X
n
i
, X
n
j
)
_
_
_
dt +
_
_
_
1
n
n

j=1
(X
n
i
, X
n
j
)
_
_
_
dW
i
, (2.13)
for random vectors X
n
1
, X
n
2
, . . . , X
n
n
in R
d
. The Wiener processes
W
1
, W
2
, W
3
, . . .
are taken to be independent of one another and of the random initial con-
ditions
X
n
1
(0), X
n
2
(0), . . . , X
n
n
(0).
20
Each system of SDEs has a unique solution and denes a Markov transition
function
K
n
(x, dy, t) : (R
d
)
n
B
(R
d
)
n [0, ) [0, 1]
by
_
R
d
(y)K
n
(x, dy, t) := E
x
[(X
n
1
(t), . . . , X
n
n
(t))].
In other words, for xed t 0 and x (R
d
)
n
, K
n
(x, , t) is the distribution
of the position at time t of random trajectory
X
n
(X
n
1
(t), X
n
2
(t), . . . , X
n
n
(t))
_
C([0, ), R
d
)
_
n
that started at X
n
(0) = x.
McKean [21, 22] proves that if the particles are initially stochastically
independent but with a common distribution
0
, then the sequence of n-
particle joint distributions at time t is
t
-chaotic,
t
being the (weak) solu-
tion at time t of the nonlinear McKean-Vlasov equation

t
f
t
(x) = [V
f
(x)f
t
(x)] +
1
2
[D
f
(x)f
t
(x)]
V
f
(x) =
_
R
d
v(x, x

)f
t
(x

)dx

D
f
(x) =
__
R
d
(x, x

)f
t
(x

)dx

_
2
f
0
(x)dx =
0
.
(2.14)
McKeans result includes that of Braun and Hepp: when 0 there
is no diusion and the system of SDEs (2.13) becomes a Vlasov system of
ODEs like (2.11). Braun and Hepp seem unaware, in their paper of 1977,
of McKeans important work of 1966. They use a dierent method to prove
the propagation of chaos for Vlasov systems. Though they only treat the
deterministic (Vlasov) case, their method can be generalized to prove that
interacting (McKean-Vlasov) diusions also propagate chaos.
McKean really proves much more than the propagation of chaos. Sup-
pose the initial positions X
n
1
(0), . . . , X
n
n
(0) for the n-particle systems are
taken to be the rst n terms of a sequence Z
1
, Z
2
, Z
3
, . . . of independent
and
0
distributed random variables. McKean proves that X
n
i
(t), the ran-
dom position of the i
th
particle at time t, converges in mean square to X

i
(t)
21
as n tends to innity. The X

i
are independent and identically distributed.
X

1
(t) is sometimes called the nonlinear process and it satises the SDE
dX =
__
R
d
v(X, y)
t
(dy)
_
dt +
__
R
d
(X, y)
t
(dy)
_
dW
1

t
= Law(X(t))
with X(0) = Z
1
.
22
Chapter 3
Chaos and Weak
Convergence
Chaos of a sequence of symmetric measures is equivalent to weak convergence
of certain probability measures. This observation, due to Sznitman and
Tanaka, is the subject of this chapter. First, in Section 3.1, the theory
of weak convergence of probability measures is reviewed. The theorem of
Sznitman and Tanaka is proved in Section 3.2. We examine this equivalence
in the simplest context of nite probability spaces in Section 3.3.
This chapter ends with Theorem 3.5: on a nite space, chaos implies
convergence of specic entropy to the entropy of the single-particle distri-
bution.
3.1 Background
Let X be a set and T a class of subsets of X that contains the empty set
and is closed under complementation and countable unions. (X, T) is called
a measurable space, and the sets in T are called measurable. A probability
measure or law on (X, T) is a countably additive, nonnegative function
P : T [0, 1]
satisfying P(X) = 1. The measure P(F) of a set F T is the probability of
F. Countable additivity requires the probability of a union of a sequence of
disjoint measurable sets to equal the sum of their probabilities. The simplest
probability measure is a point mass at a point x X, denoted (x) or
x
;

x
(F) equals one if x F, otherwise it equals zero.
23
Let (X, T) and (Y, () be measurable spaces, and let h : X Y be
measurable, i.e., h
1
(G) T whenever G (, where h
1
(G) is the inverse
image of G under h. Any probability measure P on X induces a probability
measure P h
1
on Y via h. The probability measure induced by h is dened
for G ( by
_
P h
1
_
(G) := P(h
1
(G)).
This denition implies that for any integrable function on (Y, (, P h
1
),
_
Y
(y)P h
1
(dy) =
_
X
(h(x))P(dx).
Now let (X, T ) be a Hausdor topological space with topology T . The
Borel -algebra, B, is the smallest -algebra containing T . The Borel algebra
is thus the smallest -algebra with respect to which any function continu-
ous on (X, T ) is measurable. The set of probability measures on (X, B) is
denoted T(X).
We often call probability measures simply laws.
Let C
b
(X) denote the continuous and bounded real-valued functions on
(X, T ). The set of laws T(X) is endowed with the weakest topology render-
ing continuous the maps
P T(X)
_
X
g(x)P(dx) R,
for all g C
b
(X). This is known as the weak topology on T(X). A net of
laws P

in T(X) converges to P in the weak topology if and only if the

nets
_
gP

converge to
_
gP for all g C
b
(X).
We consider exclusively the case that X is homeomorphic to a separable
metric space (S, d
S
), so that we may use certain results of the theory of
weak convergence. The theory of weak convergence of laws is customarily
expounded for laws on separable metric spaces, and especially complete and
separable metric spaces, because of the inuence of Prohorovs original study
[28] of 1956. Around the same time, Le Cam [19] developed the theory of of
weak convergence of laws on completely regular topological spaces.
For separable metric spaces (S, d
S
), the weak topology on T(S) is metriz-
able. Two metrics on T(S) that generate the weak topology are the Levy-
Prohorov distance LP and Dudleys distance BL

. The Dudley distance

between two laws , T(S) is
BL

(, ) := sup
gBL
1
_

_
S
g(s)(ds)
_
S
g(s)(ds)

_
,
24
where g ranges over the class BL
1
of bounded Lipschitz functions from S to
R dened as
BL
1
:=
_
g(s) : sup
sS
[g(s)[ + sup
s=tS
[g(s) g(t)[/d
S
(s, t) 1
_
.
The Levy-Prohorov distance between and is
LP(, ) := inf
_
> 0 : (B) (B
+
) + for all closed sets B
_
,
where B
+
is the set of all points in S that are within of some point of B:
B
+
:= s S : d
S
(s, B) < .
These metrics are discussed in Chapter 11 of the textbook Real Analysis
and Probability, by Dudley [10].
The general theory of weak convergence in law on Polish spaces is due to
Prohorov. (A topological space is Polish if it is homeomorphic to a complete,
separable metric space.) Prohorovs theorem characterizes compact sets in
T(X) when X is Polish, much as the Arzel`a-Ascoli theorem characterizes
compactness in the space of continuous functions on a compact Hausdor
space. The Arzel`a-Ascoli theorem states that a family of functions on a
compact space is relatively compact (has compact closure) in the topology of
uniform convergence if and only if the family is equicontinuous and bounded.
Prohorovs theorem states that a family of laws on a Polish space is relatively
compact if and only if it is tight.
Tightness is a simple condition:
Denition 3.1 Let T(X) be a family of laws on a topological space.
The family is tight if for each > 0 there exists a compact K

X
such that
sup

(X K

) < .
Tightness implies relative compactness, and the conditions are equivalent in
separable, topologically complete spaces:
Theorem 3.1 (Prohorov) Suppose (X, T ) is homeomorphic to a separa-
ble metric space. Then, if T(X) is tight, its closure is compact in
T(X).
If (X, T ) is Polish (homeomorphic to a complete, separable metric space)
then T(X) is tight if and only if its closure is compact in T(X).
25
It follows from Prohorovs theorem that T(X) is Polish if X is Polish
[10]. This is important to us since the proof of our main theorem requires
the application of Prohorovs theorem to T(X).
Convergence of Probability Measures by Patrick Billingsley [1] is a charm-
ing classic monograph on the theory of weak convergence of laws and its
applications. Unfortunately, this text is missing some essential material, es-
pecially the metric approach to weak convergence. It is well complemented
by the material in [10].
3.2 The Theorem of Sznitman and Tanaka
Let (S, d
S
) be a separable metric space with Borel algebra B
S
. Let S
n
denote
the n-fold product of S with itself;
S
n
:= (s
1
, s
2
, . . . , s
n
) : s
i
S for i = 1, 2, . . . , n .
S
n
is itself metrizable in a variety of equivalent ways that all generate the
same topology and the same Borel algebra B
S
n.
The marginal of a law
n
(S
n
) on the rst k-coordinates (k n) is
the law
(k)
n
T(S
k
) induced by the projection
(s
1
, s
2
, . . . , s
n
) (s
1
, s
2
, . . . , s
k
).
Equivalently,

(k)
n
(B
1
, B
2
, . . . , B
k
) =
n
(B
1
, B
2
, . . . , B
k
, S, S, . . . , S),
for all B
1
, B
2
, . . . , B
k
B
S
. If T(S), the product law
n
T(S
n
) is
the law (ds
1
)(ds
2
) (ds
n
). Note that (
n
)
(k)
=
k
.
Let
n
denote the set of permutations of 1, 2, . . . , n. The permutations

n
act on S
n
by permuting coordinates: the map : S
n
S
n
is
(s
1
, s
2
, . . . , s
n
) := (s
(1)
, s
(2)
, . . . , s
(n)
).
If E is any subset of S
n
, dene
E = s : s E.
A law on S
n
is symmetric if (B) = (B) for all
n
and all B B
S
n.
Products
n
are symmetric, for example. The symmetrization of a law
T(S
n
) is the symmetric law such that
(B) :=
1
n!

n
( B),
for all B B
S
n.
26
Denition 3.2 (Kac, 1954) Let (S, d
S
) be a separable metric space. Let
be a law on S, and for n = 1, 2, . . . , let
n
be a symmetric law on S
n
.
The sequence
n
is -chaotic if, for each natural number k and each
choice

1
(s),
2
(s), . . . ,
k
(s)
of k bounded and continuous functions on S,
lim
n
_
S
n

1
(s
1
)
2
(s
2
)
k
(s
k
)
n
(ds
1
ds
2
. . . ds
n
) =
k

i=1
_
S

i
(s)(ds).
(3.1)
In case S is Polish, condition 3.1 implies the weak convergence of the
marginals to products
k
, because the class of functions of the form

1
(x
1
)
2
(x
2
)
k
(x
k
);
1
, . . . ,
k
C
b
(S) (3.2)
is a convergence determining class for T(S
k
)[12]. Condition (3.1) shows that
the sequence of the marginals
(k)
n
converges to
k
weakly for functions of
the form 3.2 , hence it converges weakly. Thus, if S is Polish, a sequence

n
of symmetric laws on S
n
is -chaotic if and only if
lim
n

(k)
n
=
k
,
for any natural number k.
It turns out, however, that S does not need to be Polish. It will be
seen from the proof of the next theorem that condition (3.1) implies the
convergence of the marginals
(k)
n
even if S is not Polish, but only separable.
The following theorem of Sznitman and Tanaka states that a sequence
of symmetric laws is chaotic if and only if the induced sequence of laws of
the random empirical measures converges to a point mass. Let

n
((s
1
, s
2
, . . . , s
n
)) :=
1
n
n

i=1
(s
i
) (3.3)
dene a map from S
n
to T(S). These maps are measurable for each n, and

n
( s) =
n
(s) for all s S
n
,
n
.
Theorem 3.2 (Sznitman, Tanaka)
n
is -chaotic if and only if

n

1
n
() (3.4)
in T(T(S)).
27
Proof:
Suppose
n
is -chaotic.
A sequence of laws
n
on a completely regular topological space X
converges to (x) T(X) if and only if for each neighborhood N of x
lim
n

n
(X N) = 0 (3.5)
for each neighborhood N of x. Therefore, to prove the convergence of
n

1
n
to () in T(T(S)) it suces to verify (3.5) on a subbase of neighborhoods
of T(S). The class of sets of the form
_
T(S) :

_
S
g(s)(ds)
_
S
g(s)(ds)

<
_
; > 0, g C
b
(S)
is a neighborhood subbase at (), so it suces to show that

n

1
n
__
:

_
S
g(s)(ds)
_
S
g(s)(ds)

__
0. (3.6)
Writing
_
S
g(s)(ds) as < g, >, we calculate
_
S
n
[< g,
n
(s) > < g, >[
2

n
(ds)
=
_
S
n
_
1
n
n

i=1
g(s
i
) < g, >
_
2

n
(ds
1
ds
2
ds
n
)
=
1
n
2
n

i,j=1
_
S
n
(g(s
i
) < g, >) (g(s
j
) < g, >)
n
(ds)
=
1
n
_
S
(g(s) < g, >)
2

(1)
n
(ds)
+
n 1
n
_
SS
(g(s
1
) < g, >) (g(s
2
) < g, >)
(2)
n
(ds
1
ds
2
),
the last equality by the symmetry of
n
. Thus condition (3.1) for k = 1, 2
implies that
_
S
n
[< g,
n
(s) > < g, >[
2

n
(ds) 0,
and hence that (3.6) holds. Condition (3.1) thus implies condition (3.4).
Now suppose that
n

1
n
tends to ().
28
For natural numbers k n, let
n:k
and 1
n:k
denote respectively the
set of all maps and the set of injections from 1, 2, . . . , k into 1, 2, . . . , n.
Dene the map
n:k
from S
n
to T(S
k
) by

n:k
((s
1
, s
2
, . . . , s
n
)) :=
(n k)!
n!

iI
n:k

(s
i(1)
,... ,s
i(k)
)
. (3.7)

n:k
(s) is the empirical measure of k-tuples of coordinates of s, sampled
without replacement. Dene also

n:k
(s) :=
n
(s)
k
=
1
n
k

jJ
n:k

(s
j(1)
,... ,s
j(k)
)
, (3.8)
the empirical measure of all k-tuples from s. When n >> k, these two em-
pirical measures are close in total variation (TV) and a fortiori in Dudleys
distance on T(S):
BL

n:k
(s),
n
(s)
k
_

_
_
_
_
_
_
(n k)!
n!

iI
n:k

(s
i(1)
,... ,s
i(k)
)

1
n
k

jJ
n:k

(s
j(1)
,... ,s
j(k)
)
_
_
_
_
_
_
TV
2
_
1
n!
n
k
(n k)!
_
.
Since this bound is uniform in s, it follows that
n

1
n:k
is near
n

1
n:k
in T(T(S
k
)). In fact, both the Levy-Prohorov and the Dudley distances
between the two laws are bounded above:
BL

n

1
n:k
,
n

1
n:k
_
2
_
1
n!
n
k
(n k)!
_
and LP
_

n

1
n:k
,
n

1
n:k
_
2
_
1
n!
n
k
(n k)!
_
.
(3.9)
Condition (3.4) and denition (3.8) imply that
n

1
n:k
converges to
(
k
) in T(T(S
k
)). By (3.9),
n

1
n:k
converges to (
k
) as well.
29
Now, if C
b
(S
k
),
lim
n
_
S
n
(s
1
, s
2
, . . . , s
k
)
n
(ds)
= lim
n
_
S
n
_
_
_
(n k)!
n!

iI
n:k
(s
i(1)
, . . . , s
i(k)
)
_
_
_

n
(ds)
= lim
n
_
S
n
< ,
n:k
(s) >
n
(ds)
= lim
n
_
P(S
k
)
< , >
n

1
n:k
(d)
= lim
n
_
P(S
k
)
< , >
n

1
n:k
(d)
=
_
P(S
k
)
< , > (
k
)(d)
=
_
S
k
(s
1
, s
2
, . . . , s
k
)(ds
1
) (ds
k
).
Thus, condition (3.4) implies (3.1).
The preceding arguments have actually proved the following stronger
version of Theorem 3.2.
Theorem 3.3 Let S be a separable metric space and for each n let
n
be a
symmetric law on S
n
.
The following are equivalent:
Kacs condition for k = 2: For all
1
,
2
C
b
(S),
lim
n
_
S
n

1
(s
1
)
2
(s
2
)
n
(ds) =
_
S

1
(s)(ds)
_
S

2
(s)(ds); (3.10)
Condition of Sznitman and Tanaka: For all natural numbers k, the
laws
n

1
n:k
converge to (
k
) in T(T(S)) as n tends to innity, where

n:k
is the empirical measure dened in (3.7) ;
Weak convergence of marginals: For all k, the marginals
(k)
n
converge
weakly to
k
as n tends to innity.
30
3.3 Chaos on Finite Sets
Throughout this section, let S = s
1
, s
2
, . . . , s
k
be a nite set.
For each natural number n, let

n
(x
1
, x
2
, . . . , x
n
)
be a symmetric law on S
n
= S S S. Because of its symmetry,
n
is entirely determined by the probability function
P
n
(j
1
, j
2
, . . . , j
k
);
k

i=1
j
i
= n (3.11)
that gives the probability there are j
1
coordinates equal to s
1
, j
2
coordinates
equal to s
2
, and so on. The probability of (x
1
, x
2
, . . . , x
n
) S
n
is

n
(x
1
, x
2
, . . . , x
n
) = P
n
(j
1
, j
2
, . . . , j
k
)/
n!
j
1
! j
k
!
, (3.12)
where j
i
(x
1
, x
2
, . . . , x
n
) is the number of coordinates of (x
1
, x
2
, . . . , x
n
) that
equal s
i
.
Let
k1
denote the unit simplex in R
k
:

k1
=
_
(q
1
, q
2
, . . . , q
k
) :
k

i=1
q
i
= 1, q
i
0
_
.
Given
n
, dene a law
n
on
k1
by

n
:=

j
P
n
(j)(j/n) , (3.13)
where j ranges over k-tuples of nonnegative integers that sum to n.
Finally, let p = (p
1
, p
2
, . . . , p
k
) be a point of
k1
, and let p denote
the law on S given by p(s
i
) = p
i
. With these denitions and notations, we
can formulate simpler versions of Denition 3.2 and Theorem 3.2 for nite
probability spaces:
Denition 3.3 (Chaos for Finite State Spaces) The sequence
n
is
p-chaotic if for each natural number m and each (z
1
, z
2
, . . . , z
m
) in S
m
,
lim
n

x
1
,... ,x
nm
S

n
(z
1
, z
2
, . . . , z
m
, x
1
, x
2
, . . . , x
nm
) =
m

i=1
p(z
i
).
31
Theorem 3.4 The sequence
n
is p-chaotic if and only if
n
converges
weakly to (p).
Equivalently,
n
is p-chaotic if and only if
lim
n

(j
1
,... ,j
k
)
P
n
(j
1
, . . . , j
k
)F
_
j
1
n
,
j
2
n
, . . . ,
j
k
n
_
= F(p), (3.14)
for every continuous function F on the simplex
k1
.
Proof:
This is a special case of Theorem 3.2.
Formula (3.14) will be used to prove that, on nite probability spaces,
chaos implies convergence of specic entropy. We are borrowing the expres-
sion specic entropy from statistical mechanics, where it refers to entropy
per particle.
For laws and on a measurable space (X, T), the entropy of relative
to is dened to be
H

() :=
_
X
_
d
d
_
log
_
d
d
_
d
if is absolutely continuous relative to with density
_
d
d
_
, and to equal
otherwise.
Relative entropy is nonpositive, but might equal . H

() achieves
its maximum of 0 only when = . If X is a Polish space, H

() is a upper
semicontinuous function of relative to the weak topology on T(X). The
entropy of a joint law is less than or equal to the sum of the entropies of its
marginals, with equality only if the joint law is a product measure. That is,
if T(X X) with marginals
1
,
2
T(X), then
H

() H

(
1
) +H

(
2
), (3.15)
for any reference law T(X). The reader is referred to [11, pp. 32-40] for
properties of the relative entropy.
Now, if is a reference law and
n
is a p-chaotic sequence of laws
on a general separable metric space (where chaos has been dened), the
subadditivity (3.15) of entropy guarantees that
limsup
n
1
n
H

n(
n
) H

(p).
The left hand side of this inequality is what we are calling the specic
entropy. In case
n
is purely chaotic, i.e., in case
n
= p
n
for all n,
32
the specic entropy always equals the entropy of p. At the other extreme,
when the symmetric laws of a p-chaotic sequence
n
are not absolutely
continuous relative to the laws p
n
, the above inequality is strict, for then
lim
n
1
n
H
p
n(
n
) = < 0 = H
p
(p).
However, if the space is nite, one can prove that the specic entropy of a
chaotic sequence does converge:
Theorem 3.5 (Specic Entropy Converges) Let S = s
1
, s
2
, . . . , s
k

be a nite set, and for each n let

n
T(S
n
) be a symmetric law.
If the sequence
n
is p-chaotic, then
lim
n
_

1
n

xS
n

n
(x) log
n
(x)
_
=
k

i=1
p
i
log p
i
.
Proof:
By the relationship (3.12) between
n
and P
n
,

1
n

xS
n

n
(x) log
n
(x) =
1
n

(j
1
,... ,j
k
)
P
n
(j
1
, . . . , j
k
) log
P
n
(j
1
, . . . , j
k
)
n!
j
1
!j
k
!
.
This equals

1
n

j
P
n
(j) log P
n
(j) +
1
n

j
P
n
(j) log
_
n!
j
1
! j
k
!
_
, (3.16)
abbreviating (j
1
, j
2
, . . . , j
k
) by j. The rst addend in (3.16) is O
_
log n
n
_
,
since it equals an n
th
part of the entropy of a probability function P
n
(j) on
fewer than n
k
points, which entropy cannot exceed log(n
k
) = k log n.
Using Stirlings approximation
log j! = j log j j +
j
where 0 <
j
< 1 + log j , and the fact that n =

k
i=1
j
i
, one nds that
log
_
n!
j
1
! j
k
!
_
= nlog n n +
n

k

i=1
(j
i
log j
i
j
i
)
k

i=1

j
i
= nlog n
k

i=1
j
i
log j
i
+O(log n)
=
k

i=1
j
i
log
j
i
n
+O(log n) .
33
Substituting this into the second term of (3.16) shows that

1
n

xS
n

n
(x) log
n
(x) =

j
P
n
(j)
k

i=1
_
j
i
n
_
log
_
j
i
n
_
+O
_
log n
n
_
.
(3.17)
Since
n
is -chaotic, formula (3.14) of Theorem 3.4 tells us that
lim
n
_
_
_

j
P
n
(j)
k

i=1
_
j
i
n
_
log
_
j
i
n
_
_
_
_
=
k

i=1
p
i
log p
i
. (3.18)
By (3.17) and (3.18) the specic entropy converges to the entropy of p:
lim
n
_

1
n

xS
n

n
(x) log
n
(x)
_
=
k

i=1
p
i
log p
i
.
34
Chapter 4
Propagation of Chaos
This brief chapter is devoted to the proof of the main theorem stated in
Section 1.2. Denitions are given and the approach is outlined in Section
4.1. Lemmas are proved in Section 4.2 that expedite the proofs of the
theorems of Section 4.3.
4.1 Preliminaries
Let (X, T) and (Y, () be two measurable spaces. A Markov transition func-
tion K(x, E) on X( is a function that satises the following two conditions:
(1) K(x, ) is a probability measure on (Y, () for each x X, and
(2) K(, E) is a measurable function on (X, T) for each E (.
Whenever X and Y are measurable spaces and there is no confusion
about what their -algebras are supposed to be, we usually speak of Markov
transitions from X to Y rather than transition functions. In particular, if
S and T are metric spaces, a Markov transition from S to T is a transition
function on S B
T
.
A Markov process on a state space (X, T) determines a family, indexed
by time, of Markov transitions from X to itself: K(x, E, t)
t0
. The transi-
tions satisfy in addition to (1) and (2) above the Chapman-Kolmogorov
equations
K(x, E, s +t) =
_
X
K(x, dy, s)K(y, E, t); s, t 0, x X, E T.
Let (S, d
S
) and (T, d
T
) be separable metric spaces. For each n, let K
n
be
a Markov transition from S
n
to T
n
. We assume that the Markov transition
35
function K
n
is symmetric in the sense that, if is a permutation in
n
and
A is a Borel subset of T
n
,
K
n
( s, A) = K
n
(s, A). (4.1)
Denition 4.1 (Propagation of Chaos) Let K
n
be as above.
The sequence K
n
propagates chaos if, whenever
n
is a -chaotic
sequence of measures on S
n
, the measures
_
Sn
K
n
(s, )
n
(ds)
on T
n
are -chaotic for some T(T).
When we say that a family of n-particle Markov processes on a state
space S propagates chaos we mean that, for each xed time t > 0, the
family of associated n-particle transition functions K
n
(s, E, t) propagates
chaos.
Most Markov processes of interest are characterized by their laws on
nice path spaces, such as C([0, ), S) the space of continuous paths in S,
or the space D([0, ), S) of right continuous paths in S having left limits.
For such processes, the function that maps a state s S to the law of
the process started at s denes a Markov transition from S to the entire
path space. Now, if a sequence of transitions K
n
(s, ) from S
n
to the path
spaces C([0, ), S
n
) or D([0, ), S
n
) propagates chaos, then, a fortiori, it
propagates chaotic sequences of initial laws to chaotic sequences of laws on
S
n
at any (xed) later time. We have dened the propagation of chaos for
sequences of Markov transitions from S
n
to a (possibly) dierent space T
n
,
instead of simply from S
n
to itself, with the case where T is path space
especially in mind. This way, our ensuing study will pertain even to those
families of processes that propagate the chaos of initial laws to the chaos of
laws on the whole path space.
We are going to prove that a sequence of Markov transitions K
n

n=1
propagates chaos if and only if
_

K
n
(s
n
, )
_

n=1
is chaotic whenever s
n
S
n
satisfy
n
(s
n
) p in T(S). We employ the
weak convergence characterization of chaos of Sznitman and Tanaka and we
assume that S is Polish. To study the propagation of chaos, we project the
36
transitions K
n
from S
n
to T
n
onto transitions from
n
(S
n
) to T(T), and
then apply Theorem 3.2, which projects chaotic sequences of symmetric laws
on the spaces S
n
onto convergent sequences of laws on T(S).
From now on, the notation
n
is used both for the map from S
n
to
n-point empirical measures on S and for the same kind of map on T
n
.
Markov transitions K
n
from S
n
to T
n
induce Markov transition functions
H
n
from
n
(S
n
) to
n
(T
n
). The induced transition function can be dened
in terms of a Markov transition J
n
from
n
(S
n
) to S
n
which acts as a kind of
inverse of
n
. For xed
n
(S
n
), let J
n
(, ) denote the atomic probability
measure on S
n
that allots equal probability to each of the points in
1
(),
a set containing at most n! points. Putting it another way, J
n
(, E) equals
the proportion of points s S
n
such that
n
(s) = that lie in E S
n
. A
Markov transition K
n
from S
n
to T
n
induces a Markov transition H
n
from

n
(S
n
) to
n
(T
n
) dened by
H
n
(, G) :=
_
sS
n
J
n
(, ds)K
n
_
s,
1
n
(G)
_
(4.2)
for
n
(S
n
) and G a measurable subset of
n
(T
n
). Note that if s S
n
,
H
n
(
n
(s), ) = K
n
(s, )
1
n
, (4.3)
where the maps
n
written on the left and right hand sides are, respectively,
the maps from S
n
and T
n
to empirical measures in T(S) and T(T).
Theorem 3.2 shows that propagation of chaos by a sequence K
n
is equiv-
alent to the following condition on the induced transitions H
n
.
Proposition 4.1 The sequence of Markov transitions K
n

n=1
propagates
chaos if and only if, whenever
n
T(
n
(S
n
))

n=1
converges in T(T(S))
to (p), the sequence
_
_
n(S
n
)
H
n
(, )
n
(d)
_

n=1
(4.4)
converges in T(T(T)) to (q), for some q T(T).
Proof:

n
T(
n
(S
n
)) converges to (p) if and only if
_
_
n(S
n
)
J
n
(, )
n
(d)
_

n=1
37
is chaotic. Therefore, the sequence of transitions K
n
propagates chaos if
and only if
_
_
S
n
K
n
(s, )
_
n(S
n
)
J
n
(, ds)
n
(d)
_

n=1
(4.5)
is chaotic whenever
n
(p).
Now, using denition (4.2) of the transitions H
n
, we nd
_
_
S
n
K
n
(s, )
_
n(S
n
)
J
n
(, ds)
n
(d)
_

1
n
=
_
n(S
n
)
__
sS
n
J
n
(, ds)K
n
(s, )
1
n
_

n
(d)
=
_
n(S
n
)
H
n
(, )
n
(d).
Thus, by Theorem 3.2, the sequence (4.5) is chaotic if and only if the
sequence (4.4) converges to a point mass in T(T(T)). Therefore, K
n

propagates chaos if and only if (4.4) converges to (q), for some q T(T).

Proposition 4.1 implies that if a sequence of Markov transitions K

n

propagates chaos, then the sequence H

n
(
n
, ) converges to a point mass
whenever
n

n
(S
n
) converges in T(S). That this condition implies
propagation of chaos (and is not just a necessary condition) is equivalent to
our main theorem. To prove the suciency of the condition, we use Lemma
4.3 of the next section.
The lemmas of Section 4.2 are presented in a general context. In Section
4.3 we apply these lemmas to propagation of chaos. In that context the
induced transitions H
n
, thought of as functions from
n
(S
n
) to T(T(T)),
behave like the maps f
n
of the lemmas.
4.2 Lemmas
Let (X, d
X
) be a metric space, and D
1
D
2
an increasing chain of
Borel subsets of X whose union is dense in X. For each natural number n,
let f
n
be a measurable real-valued function on D
n
.
Consider the following four conditions on the sequence f
n

n=1
. They
are listed in order of decreasing strength.
38
[A] Whenever
n
is a weakly convergent sequence of probability mea-
sures on X with
n
supported on D
n
, then the sequence
__
X
f
n
(x)
n
(dx)
_

n=1
of real numbers converges as well.
[B] Whenever
n
is a sequence of probability measures on X that
converges weakly to (x) for some x X, and
n
is supported on D
n
, then
the sequence
__
X
f
n
(x)
n
(dx)
_
also converges.
[C] Whenever d
n
is a convergent sequence of points in X, with d
n

D
n
, then f
n
(d
n
) also converges.
[D] For any compact K X, and for any > 0, there exists a natural
number N such that, whenever m n N and d D
n
K, then
[f
m
(d) f
n
(d)[ < .
Lemma 4.1 [A] [B] [C] [D].
Proof:
Clearly [A] [B]. Setting
n
= (d
n
) in [B] shows that [B] [C].
To show that [C] [D], suppose that [C] holds but that [D] fails to hold
for some compact K X and some > 0. Then there exists an > 0, two
increasing sequences of natural numbers n(k) and m(k) with
n(k + 1) > m(k) > n(k)
for all k, and a sequence of points d
k
D
n(k)
K, such that

f
m(k)
(d
k
) f
n(k)
(d
k
)

. (4.6)
Since K is compact, there exists an increasing sequence of natural numbers
k(j) such that d
k
(j)

j=1
converges. Now dene the convergent sequence
e
i
D
n(k(i))

i=1
by e
i
= d
k
(j) when n(k(j)) i < n(k(j + 1)). By [C],
the sequence f
i
(e
i
) converges. But f
i
(e
i
) does not converge along the
subsequence indexed by
n(k(1)), m(k(1)), n(k(2)), m(k(2)), . . .
because of (4.6) and the fact that
e
n(k(j))
= e
m(k(j))
= d
k(j)
.
This contradiction shows that [C] must imply [D].
39
Lemma 4.2 If condition [C] holds, then whenever d
n
D
n
converges to
x X, the limit of f
n
(d
n
) depends only on x. The function of x which
may thus be dened as
f(x) := lim
n
f
n
(d
n
)
when d
n
x, is continuous.
Proof:
Assume that condition [C] holds.
Suppose d
n
D
n
and e
n
D
n
are two sequences that both con-
verge to x X. Then the sequence d
1
, e
2
, d
3
, e
4
, d
5
, e
6
, . . . also converges
to x, and its n
th
term is a member of D
n
. By condition [C], the se-
quence f
1
(d
1
), f
2
(e
2
), f
3
(d
3
), . . . converges. This shows that limf
n
(d
n
) =
limf
n
(e
n
).
Suppose x
k
x in X. Given > 0, it is possible to nd an increasing
sequence n(k) of natural numbers and a sequence of points e
n(k)
D
n(k)

such that d
X
(e
n(k)
, x
k
) <
1
k
while [f
n(k)
(e
n(k)
) f(x
k
)[ < . Then e
n(k)

converges to x just as x
k
does, so lim
k
f
n(k)
(e
n(k)
) = f(x). Now
[f(x
k
) f(x)[ [f(x
k
) f
n(k)
(e
n(k)
)[ +[f
n(k)
(e
n(k)
) f(x)[.
Since the last term tends to zero,
limsup
k
[f(x
k
) f(x)[ .
Since may be arbitrarily small, f(x
k
) f(x), which shows that f is
continuous.
Lemma 4.3 If (X, d
X
) is a complete and separable metric space, and the
functions f
n
are bounded uniformly in n, then conditions [A], [B], and [C]
are all equivalent.
Proof:
It remains to show that [C] [A] when (X, d
X
) is complete and sepa-
rable, and sup
dDn
[f
n
(d)[ B for all n.
Suppose that
n
converges to T(X), where
n
(XD
n
) = 0. Since
X is complete and separable, Prohorovs theorem implies that
n
is tight.
Thus, given > 0, there exists a compact K

X such that
n
(XK

) <
40
for all n. With f : X R as dened in Lemma 4.2,

_
X
f
n
(x)
n
(dx)
_
X
f(x)(dx)

_
K
f
n
(x) f(x)
n
(dx)

+ 2B
+

_
X
f(x)
n
(dx)
_
X
f(x)(dx)

.
Condition [C] implies condition [D], a sort of uniform convergence on com-
pact sets that entails that
lim
n
_
K
[f
n
(x) f(x)[
n
(dx) = 0.
Therefore,
limsup
n

_
X
f
n
(x)
n
(dx)
_
X
f(x)(dx)

2B.
Since is arbitrarily small, it follows that
_
X
f
n
(x)
n
(dx)
_
X
f(x)(dx).
4.3 Theorems
Let S and T be separable metric spaces. For each natural number n, let
K
n
be a Markov transition from S
n
to T
n
that satises the permutation
condition (4.1). Let H
n
be the transition from
n
(S
n
) to T(T) that is
induced by K
n
, as dened in (4.2).
Theorem 4.1 If a sequence of Markov transitions K
n
propagates chaos,
then there exists a continuous function
F : T(S) T(T)
such that, if
n
(s
n
) p in T(S) with s
n
S
n
, then
_

K
n
(s
n
, )
_

n=1
is F(p)-chaotic.
41
Proof:
The arguments of Lemma 4.1 and Lemma 4.2 will be adapted to prove
this.
Take T(S) with one of the metrics for the weak topology to be the
metric space (X, d
X
) of those lemmas, and take
n
(S
n
) to be D
n
. For
each bounded and continuous function C
b
(T(T)) dene the functions

n
:
n
(S
n
) R by

n
() :=
_
P(T)
()H
n
(, d), (4.7)
where H
n
is as dened in (4.2). These functions
n
will play the role of the
functions f
n
of the lemmas.
By hypothesis, K
n
propagates chaos. Proposition 4.1 therefore implies
that whenever
n
T(
n
(S
n
))

n=1
converges in T(T(S)) to (p), then
_
n(S
n
)

n
()
n
(d) (q) (4.8)
for some q T(T). In fact, Proposition 4.1 implies that q does not depend
on our choice of : the same q works for all in (4.8).
Condition (4.8) resembles condition [B] of Lemma 4.1. Lemma 4.1 and
Lemma 4.2 can now be applied to show that there exists a continuous func-
tion G

(p), depending on , such that if s

n
S
n
is a sequence satisfying

n
(s
n
) p in T(S), then

n
(
n
(s
n
)) G

(p).
By (4.8), G

(p) = (q) for some q T(T) that does not depend on . The
only way that all the G

s can have this form and yet all be continuous is

for the dependence of q on p to be continuous: there must be a continuous
F from T(S) to T(T) such that G

(p) = (F(p)) for all C

b
(T(T)).
Thus, there exists a continuous function F from T(S) to T(T) such that
[
n
(s
n
) p] =
_

n
(
n
(s
n
)) (F(p))
_
for all C
b
(T(T)). This fact, and the denitions (4.2) and (4.7) of H
n
and

, imply that
[
n
(s
n
) p] =
_

K
n
(s
n
, )
1
n
(F(p))
_
.
42
Finally, by Theorem 3.2, we have that
[
n
(s
n
) p] =
_

K
n
(s
n
, )
_

n=1
is F(p)chaotic.
When (S, d
S
) is complete and separable, the necessary condition of The-
orem 4.1 is also sucient.
Theorem 4.2 (Main Theorem) Suppose (S, d
S
) is a complete, separable
metric space. Then K
n
propagates chaos if and only if there exists a
continuous function
F : T(S) T(T)
such that, whenever
n
(s
n
) p in T(S) with s
n
S
n
, then
_

K
n
(s
n
, )
_

n=1
is F(p)-chaotic.
Proof:
We have just demonstrated that the condition is necessary (Theorem
4.1). Next we demonstrate its suciency:
Suppose P
n
T(S
n
) is p-chaotic. Let
n
= P
n

1
n
. Then
n
(p)
in T(T(S)) by Theorem 3.2. Our goal is to prove that
_
P(S)
H
n
(, d)
n
(d) (F(p)),
where H
n
is as dened in (4.2). This is enough, by Proposition 4.1, to
demonstrate that chaos propagates.
By hypothesis, if s
n
S
n
is such that
n
(s
n
) converges to p then

K
n
(s
n
, ) is F(p)-chaotic. By Theorem 3.2 and the fact that

K
n
(s
n
, )
1
n
= H
n
(
n
(s
n
), ),
the hypothesis is equivalent to the statement that, if p
n

n
(S
n
) for each
n, then
[p
n
p] = [H
n
(p
n
, ) (F(p))] . (4.9)
Let C
b
(T(T)) be a bounded and continuous function on T(T), and
dene functions

n
:
n
(S
n
) R by

n
() :=
_
P(T)
()H
n
(, d). (4.10)
43
These functions are uniformly bounded in n since is bounded.
The hypothesis (4.9) and equation (4.10) imply that
lim
n

n
(p
n
) = (F(p)) (4.11)
when p
n
p with p
n

n
(S
n
). We are assuming S is complete and
separable, therefore so is T(S) [1].
We may now apply Lemma 4.3 with
X = T(S), D
n
=
n
(S
n
), f
n
=

n
,
and conclude that
lim
n
_
P(S)

n
()
n
(d) = (F(p)) (4.12)
for any sequence
n
that converges to (p) in T(T(S)).
By equations (4.12) and (4.10),
(F(p)) = lim
n
_
P(S)

n
()
n
(d)
= lim
n
_
P(S)
_
P(T)
()H
n
(, d)
n
(d)
= lim
n
_
P(T)
()
_
P(S)
H
n
(, d)
n
(d),
for all C
b
(T(T)). This implies that
_
P(S)
H
n
(, d)
n
(d) (F(p))
in T(T(S)), completing the proof.
Theorem 4.1 states that the limit-law map F : T(S) T(T) must be
continuous. If S is complete and separable then, conversely, any continuous
map F is a possible limit-law map. This fact is a corollary of Theorem 4.2:
Corollary 4.1 Suppose (S, d
S
) is a complete, separable metric space. Then,
for any continuous F : T(S) T(T), there exists a sequence of Markov
transitions K
n

n=1
that propagates chaos, and for which
K
n
(s
n
, )

n=1
is F(p)-chaotic whenever
n
(s
n
) p in T(S).
44
Proof:
Let F : T(S) T(T) be continuous. For each n and each s S
n
, let
K
n
(s, ) be the n-fold product measure
K
n
(s, ) := F(
n
(s)) F(
n
(s)) F(e
n
(s)). (4.13)
Suppose the points s
n
S
n
are such that
n
(s
n
) converges to p as
n tends to innity. Since F is continuous , F(
n
(s
n
)) converges to F(p)
as well, so it is clear from Denition 3.2 that the sequence of symmetric
measures K
n
(s
n
, ) is F(p)-chaotic. By Theorem 4.2, K
n
propagates
chaos.
The Markov transition functions K
n
may well be deterministic, that
is, the n-particle dynamics may simply be given by a point-transformation
from S
n
to T
n
. These point-transformations are measurable maps from S
n
to T
n
that commute with permutations of coordinates.
Let f
n
: S
n
T
n
be a measurable map that commutes with permuta-
tions of n-coordinates, i.e., such that
f
n
(s
(1)
, s
(2)
, . . . , s
(n)
) = f
n
(s
1
, s
2
, . . . , s
n
) (4.14)
for each point s S
n
and each permutation of the symbols 1, 2, . . . , n.
Given f
n
, dene the Markov transition K
n
from S
n
to T
n
by
K
n
(s, E) = 1
E
(f
n
(s))
when s S
n
and E B
T
n. Say that f
n

n=1
propagates chaos if the
sequence of deterministic transition functions K
n
propagates chaos.
The following is an immediate corollary of Theorem 4.2:
Corollary 4.2 (Deterministic Case) Let S be a Polish space, and for
each n let f
n
be a measurable map from S
n
to T
n
that commutes with per-
mutations as in (4.14).
f
n
propagates chaos if and only if there exists a continuous function
F : T(S) T(T)
such that
n
(f
n
(s
n
)) F(p) in T(T) whenever
n
(s
n
) p in T(S).
45
Chapter 5
Conclusion
We have studied the propagation of chaos by families of Markov processes,
having adopted a simple denition of propagation of chaos, namely, that the
processes propagate all chaotic sequences of initial laws to chaotic sequences.
Authors who wish to prove that certain families of processes propagate chaos
often show only that sequences of initial laws of the form
n
are propagated
to chaotic sequences, that is, they show that pure chaos is propagated to
chaos. We have remarked that this does not imply unqualied propagation
of chaos.
Propagation of chaos, in its unqualied sense, entails the continuity of
the limit dynamics. Families of Markov processes on Polish spaces propagate
chaos if and only if the associated Markov transition functions satisfy the
condition of Theorem 4.2.
Our denition of propagation of chaos may be too simplistic to cover
some situations of interest. For instance, the subtle propagation of chaos
phenomenon that is operative in Lanfords validation of Boltzmanns equa-
tion where the chaos of the initial laws propagates if those laws have
densities that converge uniformly is not subject to our treatment here.
Further foundational research on the propagation of chaos phenomenon
of Lanfords theorem is called for. Is the phenomenon endemic to the
Boltzmann-Grad limit, or is it, like the propagation of chaos that is the sub-
ject of our theorems, a more general probabilistic phenomenon that should
appear in other parts of kinetic theory?
46
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