Related papers: A Law of Large Numbers for interacting diffusions …
In this paper, we construct a type of interacting particle systems to approximate a class of stochastic different equations whose coefficients depend on the conditional probability distributions of the processes given partial observations.…
We investigate quantum systems perturbed by noise in the form of repeated interactions between the system and the environment. As the number of interactions (aka time steps) tends to infinity, we show, following the works by Pellegrini,…
A new class of particle systems with sequential interaction is proposed to approximate the McKean-Vlasov process that originally arises as the limit of the mean-field interacting particle system. The weighted empirical measure of this…
We derive stochastic compressible Euler Equation from a Hamiltonian microscopic dynamics. We consider systems of interacting particles with H\"older noise and potential whose range is large in comparison with the typical distance between…
We prove a representation for the support of McKean Vlasov Equations. To do so, we construct functional quantizations for the law of Brownian motion as a measure over the (non-reflexive) Banach space of H\"older continuous paths. By solving…
Having a priori knowledge of the force acting on a noisy system it is possible to solve the issue relative to the interpretation of multiplicative noise terms (aka Ito-Stratonovich dilemma). We experimentally show that for a Brownian…
We consider a system of stochastic interacting particles in $\mathbb{R}^d$ and we describe large deviations asymptotics in a joint mean-field and small-noise limit. Precisely, a large deviations principle (LDP) is established for the…
We discuss the dynamics and thermodynamics of systems with long-range interactions. We contrast the microcanonical description of an isolated Hamiltonian system to the canonical description of a stochastically forced Brownian system. We…
In this paper, we establish large deviation principle for the strong solution of a doubly nonlinear PDE driven by small multiplicative Brownian noise. Motononicity arguments and the weak convergence approach have been exploited in the…
We prove the validity of a small noise large deviation principle for the family of invariant measures $\{\mu_\epsilon\}_{\epsilon>0} $ associated to the one dimensional stochastic Allen-Cahn equation with inhomogeneous Dirichlet boundary…
We consider a finite or countable collection of one-dimensional Brownian particles whose dynamics at any point in time is determined by their rank in the entire particle system. Using Transportation Cost Inequalities for stochastic…
In this article, we consider McKean stochastic differential equations, as well as their corresponding McKean-Vlasov partial differential equations, which admit a unique stationary state, and we study the linearized It\^o diffusion process…
We consider a general system of n noninteracting identical particles which evolve under a given dynamical law and whose initial microstates are a priori independent. The time evolution of the n-particle average of a bounded function on the…
The white noise approach to the investigation of the dynamics of a quantum particle interacting with a dilute and in general non-equilibrium gaseous environment in the low density limit is outlined. The low density limit is the kinetic…
For continuous-time linear stochastic dynamical systems driven by Wiener processes, we consider the problem of designing ensemble filters when the observation process is randomly time-sampled. We propose a continuous-discrete McKean--Vlasov…
We study fluctuations of mean-field interacting particle systems around their McKean--Vlasov limit. Our main result provides a uniform-in-time quantitative central limit theorem for the fluctuation process, with convergence rate of order…
We consider extended slow-fast systems of N interacting diffusions. The typical behavior of the empirical density is described by a nonlinear McKean-Vlasov equation depending on , the scaling parameter separating the time scale of the slow…
We study the limiting behaviour of the empirical measure of a system of diffusions interacting through their ranks when the number of diffusions tends to infinity. We prove that the limiting dynamics is given by a McKean-Vlasov evolution…
This article examines large time behaviour of finite state mean-field interacting particle systems. Our first main result is a sharp estimate (in the exponential scale) on the time required for convergence of the empirical measure process…
In this work, we are interested in building the fully discrete scheme for stochastic fractional diffusion equation driven by fractional Brownian sheet which is temporally and spatially fractional with Hurst parameters $H_{1}, H_{2}…