Linearization of ergodic McKean SDEs and applications

In this article, we consider McKean stochastic differential equations, as well as their corresponding McKean–Vlasov partial differential equations, which admit a unique stationary state, and we study the linearized Itô diffusion process that is obtained by replacing the law of the process in the convolution term with the unique invariant measure. We show that the law of the nonlinear McKean process converges to the law of this linearized process exponentially fast in time, both in relative entropy and in Wasserstein distance. We study the problem in both the whole space and the torus. We then show how we can employ the resulting linear (in the sense of McKean) Markov process to analyze properties of the original nonlinear and nonlocal dynamics that depend on their long-time behavior. In particular, we propose a linearized maximum likelihood estimator for the nonlinear process which is asymptotically unbiased, and we study the joint diffusive-mean field limit of the underlying interacting particle system.