Related papers: Central Limit Results for Jump-Diffusions with Mea…
We investigate the two-points correlation function for several boundary-driven interacting particle systems. Our goal is to show that the time evolution of that correlation function is solution to a partial differential equation that can be…
The fractional diffusion equation is rigorously derived as a scaling limit from a deterministic Rayleigh gas, where particles interact via short range potentials with support of size $\varepsilon$ and the background is distributed in space…
We prove a central limit theorem for network formation models with strategic interactions and homophilous agents. Since data often consists of observations on a single large network, we consider an asymptotic framework in which the network…
We consider a collection of weakly interacting diffusion processes moving in a two-scale locally periodic environment. We study the large deviations principle of the empirical distribution of the particles' positions in the combined limit…
We investigate the utility in employing asymptotic results related to a clustering criterion to the problem of testing for the presence of jumps in financial models. We consider the Jump Diffusion model for option pricing and demonstrate…
We conjecture that for a wide class of interacting particle systems evolving in discrete time, namely conservative cellular automata with piecewise linear flow diagram, relaxation to the limit set follows the same power law at critical…
We introduce an interacting particle system that models the spread of an epidemic in terms of heterogeneous diffusive dynamics, rather than exogenous contact and transmission rates at the population level as in classical compartmental…
We consider a system of diffusing particles on the real line in a quadratic external potential and with repulsive electrostatic interaction. The empirical measure process is known to converge weakly to a deterministic measure-valued process…
We analyse qualitative properties of the solutions to a mean-field equation for particles interacting through a pairwise potential while diffusing by Brownian motion. Interaction and diffusion compete with each other depending on the…
We study a one-dimensional particles system, in the overdamped limit, where nearest particles attract with a force inversely proportional to a power of their distance and coalesce upon encounter. The detailed shape of the distribution…
We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity function. All coefficients, i.e. drift,…
We study reaction-diffusion systems where diffusion is by jumps whose sizes are distributed exponentially. We first study the Fisher-like problem of propagation of a front into an unstable state, as typified by the A+B $\to$ 2A reaction. We…
In the nonlinear diffusion framework, stochastic processes of McKean-Vlasov type play an important role. In some cases they correspond to processes attracted by their own probability distribution: the so-called self-stabilizing processes.…
This paper addresses the following classical question: giving a sequence of identically distributed random variables in the domain of attraction of a normal law, does the associated linear process satisfy the central limit theorem? We study…
We study a McKean--Vlasov equation arising from a mean-field model of a particle system with positive feedback. As particles hit a barrier they cause the other particles to jump in the direction of the barrier and this feedback mechanism…
A Langevin equation is suggested to describe a system driven by correlated Gaussian white noise as well as with positive and negative damping demarcated by a critical velocity. The equation can be transformed into the Fokker-Planck equation…
We present new connections among anomalous diffusion (AD), normal diffusion (ND) and the Central Limit Theorem. This is done by defining a point transformation to a new position variable, which we postulate to be Cartesian, motivated by…
Behavior of the mixture of particles and dimers moving with different jump rates at reconstructed surfaces is described. Collective diffusion coefficient is calculated by the variational approach. Anisotropy of the collective particle…
We introduce a heterogeneous formulation of a contagious McKean-Vlasov system, whose inherent heterogeneity comes from asymmetric interactions with a natural and highly tractable structure. It is shown that this formulation characterises…
We consider a Markovian jumping process which is defined in terms of the jump-size distribution and the waiting-time distribution with a position-dependent frequency, in the diffusion limit. We assume the power-law form for the frequency.…