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We study stochastic particle systems that conserve the particle density and exhibit a condensation transition due to particle interactions. We restrict our analysis to spatially homogeneous systems on finite lattices with stationary product…
We consider an SPDE description of a large portfolio limit model where the underlying asset prices evolve according to certain stochastic volatility models with default upon hitting a lower barrier. The asset prices and their volatilities…
A system of interacting particles described by stochastic differential equations is considered. As oppopsed to the usual model, where the noise perturbations acting on different particles are independent, here the particles are subject to…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
The convergence of stochastic interacting particle systems in the mean-field limit to solutions of conservative stochastic partial differential equations is established, with optimal rate of convergence. As a second main result, a…
We prove existence and Sobolev regularity of solutions of a nonlinear system of degenerate-parabolic PDEs with self- and cross-diffusion, transport/confinement and nonlocal interaction terms. The macroscopic system of PDEs is formally…
We study a continuous-time version of the Hegselmann-Krause model describing the opinion dynamics of interacting agents subject to random perturbations. Mathematically speaking, the opinion of agents is modelled by an interacting particle…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
This paper studies the numerical simulation of the solution to the McKean-Vlasov equation with common noise. We begin by discretizing the solution in time using the Euler scheme, followed by spatial discretization through the particle…
The well-posedness and regularity properties of diffusion-aggregation equations, emerging from interacting particle systems, are established on the whole space for bounded interaction force kernels by utilizing a compactness convergence…
We consider a simple stochastic $N$-particle system, already studied by the same authors in \cite{CPS21}, representing different populations of agents. Each agent has a label describing his state of health. We show rigorously that, in the…
The Polynomial Chaos Expansion (PCE) technique recovers a finite second order random variable exploiting suitable linear combinations of orthogonal polynomials which are functions of a given stochas- tic quantity {\xi}, hence acting as a…
We prove the existence of weak solutions of a class of multi-species cross-diffusion systems as well as the propagation of chaos result by means of nonlocal approximation of the nonlinear diffusion terms, coupling methods and compactness…
Applying probabilistic techniques we study regularity properties of quantum master equations (QMEs) in the Lindblad form with unbounded coefficients; a density operator is regular if, roughly speaking, it describes a quantum state with…
Let $D_n$ be the dihedral group with $2n$ elements, and suppose $n$ is greater than one. We call ring system a finite $D_n$-symmetric set of points in $\mathbb{R}^2$. Ring systems have been used as models for planets surrounded by rings,…
We discuss the construction and approximation of solutions to a nonlinear McKean-Vlasov equation driven by a singular self-excitatory interaction of the mean-field type. Such an equation is intended to describe an infinite population of…
This work addresses the propagation of chaos properties in a class of moderately interacting particle systems for the approximation of singular kinetic McKean-Vlasov SDEs driven by alpha-stable processes.
The bounded confidence model of opinion dynamics, introduced by Deffuant et al, is a stochastic model for the evolution of continuous-valued opinions within a finite group of peers. We prove that, as time goes to infinity, the opinions…
This paper focuses on stochastic partial differential equations (SPDEs) under two-time-scale formulation. Distinct from the work in the existing literature, the systems are driven by $\alpha$-stable processes with $\alpha \in(1,2)$. In…
We study the invariant measures of infinite systems of stochastic differential equations (SDEs) indexed by the vertices of a regular tree. These invariant measures correspond to Gibbs measures associated with certain continuous…