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Large-population asymptotics for the maximum of diffusive particles with mean-field interaction in the noises

Probability 2024-01-17 v1

Abstract

We study the NN \to \infty limit of the normalized largest component in some systems of NN diffusive particles with mean-field interaction. By applying a universal time change, the interaction in noises is transferred to the drift terms, and the asymptotic behavior of the maximum becomes well-understood due to existing results in the literature. We expect that the normalized maximum in the original setting has the same limiting distribution as that of i.i.d copies of a solution to the corresponding McKean-Vlasov SDE and we present some results and numerical simulations that support this conjecture.

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Cite

@article{arxiv.2401.08344,
  title  = {Large-population asymptotics for the maximum of diffusive particles with mean-field interaction in the noises},
  author = {Nikolaos Kolliopoulos and David Sanchez and Amy Xiao},
  journal= {arXiv preprint arXiv:2401.08344},
  year   = {2024}
}

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12 pages