Under a dissipation condition, N-particle systems with implicitly defined density-dependent diffusion converge, after regularization, to a McKean-Vlasov SDE whose diffusion coefficient depends on the solution's own density.
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Propagation of Chaos for Singular Interactions via Regular Drivers
Under a dissipation condition, N-particle systems with implicitly defined density-dependent diffusion converge, after regularization, to a McKean-Vlasov SDE whose diffusion coefficient depends on the solution's own density.