Central limit theorem over non-linear functionals of empirical measures with applications to the mean-field fluctuation of interacting diffusions

In this work, a generalised version of the central limit theorem is proposed for nonlinear functionals of the empirical measure of i.i.d. random variables, provided that the functional satisfies some regularity assumptions for the associated linear functional derivative. This generalisation can be applied to Monte-Carlo methods, even when there is a nonlinear dependence on the measure component. We use this result to deal with the contribution of the initialisation in the convergence of the fluctuations between the empirical measure of interacting diffusion and their mean-field limiting measure (as the number of particles goes to infinity), when the dependence on measure is nonlinear. A complementary contribution related to the time evolution is treated using the master equation, a parabolic PDE involving L-derivatives with respect to the measure component, which is a stronger notion of derivative that is nonetheless related to the linear functional derivative.