Related papers: Entropy on the path space and application to singu…
By developing a new technique called the bi-coupling argument, we estimate the relative entropy between different diffusion processes in terms of the distances of initial distributions and drift-diffusion coefficients. As an application,…
We consider a one-dimensional McKean-Vlasov SDE on a domain and the associated mean-field interacting particle system. The peculiarity of this system is the combination of the interaction, which keeps the average position prescribed, and…
We study a nonlinear branching diffusion process in the sense of McKean, i.e., where particles are subjected to a mean-field interaction. We consider first a strong formulation of the problem and we provide an existence and uniqueness…
We establish a process level large deviation principle for systems of interacting Bessel-like diffusion processes. By establishing weak uniqueness for the limiting non-local SDE of McKean-Vlasov type, we conclude that the latter describes…
Cross-diffusion systems are systems of nonlinear parabolic partial differential equations that are used to describe dynamical processes in several application, including chemical concentrations and cell biology. We present a space-time…
The path-integral representation of Smoluchowski equation is exploited to explore the stochastic dynamics of a tagged Brownian particle within an interacting system where hydrodynamic effects are neglected. In particular, this formalism is…
Inspired by the stochastic particle method, this paper establishes an easily implementable explicit numerical method for McKean-Vlasov stochastic differential equations (MV-SDEs) with superlinear growth coefficients. The paper establishes…
We derive the quantitative estimates of propagation of chaos for the large interacting particle systems in terms of the relative entropy between the joint law of the particles and the tensorized law of the mean field PDE. We resolve this…
We consider backward stochastic differential equations (BSDEs) with mean-field and McKean-Vlasov interactions in their generators in a general setting, where the drivers are square-integrable martingales, with a focus on the independent…
We study a stochastic system of $N$ interacting particles which models bimolecular chemical reaction-diffusion. In this model, each particle $i$ carries two attributes: the spatial location $X_t^i\in \mathbb{T}^d$, and the type $\Xi_t^i\in…
This paper focus on investigating the explicit rate of convergence for the propagation of chaos, in a pathwise sense a family of interacting stochastic particle related to some Brownian driven McKean-Vlasov dynamics. Precisely the McKean…
This article shows how to combine the relative entropy method by D. Bresch, P.-E. Jabin, and Z. Wang in arXiv:1706.09564, arXiv:1906.04093 and the regularized $L^2(\mathbb{R}^d)$-estimate by Oelschl\"ager (Probability theory and related…
Although an intimate relation between entropy and diffusion has been advocated for many years and even seems to have been verified in theory and experiments, a quantitatively reliable study, and any derivation of an algebraic relation…
We study stochastic differential equations (SDEs) of McKean-Vlasov type with distribution dependent drifts and driven by pure jump L\'{e}vy processes. We prove a uniform in time propagation of chaos result, providing quantitative bounds on…
We establish a Sanov type large deviation principle for an ensemble of interacting Brownian rough paths. As application a large deviations for the ($k$-layer, enhanced) empirical measure of weakly interacting diffusions is obtained. This in…
We consider a discrete-time system of n coupled random vectors, a.k.a. interacting particles. The dynamics involve a vanishing step size, some random centered perturbations, and a mean vector field which induces the coupling between the…
This paper develops a non-asymptotic approach to mean field approximations for systems of $n$ diffusive particles interacting pairwise. The interaction strengths are not identical, making the particle system non-exchangeable. The marginal…
In this work, we consider one-dimensional particles interacting in mean-field type through a bounded kernel. In addition, when particles hit some barrier (say zero), they are removed from the system. This absorption of particles is…
We consider the problem of minimizing a generalized relative entropy, with respect to a reference diffusion law, over the set of path-measures with fully prescribed marginal distributions. When dealing with the actual relative entropy,…
New quantitative propagation of chaos results for mean field diffusion are proved via local and global entropy estimates. In the first result we work on the torus and consider singular, divergence free interactions $K\in L^p$, $p>d$. We…