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Convergence rate for the approximation of the limit law of weakly interacting particles: application to the Burgers equation
In this paper we construct a stochastic particle method for the Burgers equation with a monotone initial condition; we prove that the convergence rate is $O(1/ \sqrt{N} + \sqrt{\Delta t})$ for the $L^1 (\mathbb{R} \times \Omega)$ norm of the error. To obtain that result, we link the PDE and the …