Related papers: The Atlas Model and SDEs with Boundary Interaction
An interacting particle system made of diffusion processes with local interaction is considered and the macroscopic limit to a nonlinear PDE is investigated. Few rigorous results exists on this problem and in particular the explicit form of…
The mean-field stochastic partial differential equation (SPDE) corresponding to a mean-field super-Brownian motion (sBm) is obtained and studied. In this mean-field sBm, the branching-particle lifetime is allowed to depend upon the…
We study interacting particle systems of Kuramoto-type. Our focus is on the dynamical relation between the partial differential equation (PDE) arising in the continuum limit (CL) and the one obtained in the mean-field limit (MFL). Both…
We consider a Brownian particle with diffusion coefficient $D$ in a $d$-dimensional ball of radius $R$ with reflecting boundaries. We study the maximum $M_x(t)$ of the trajectory of the particle along the $x$-direction at time $t$. In the…
Based on Brownian dynamics simulations we study the collective behavior of a twodimensional system of repulsively interacting colloidal particles, where each particle is propelled by a repulsive feedback force with time delay $\tau$.…
Mathematical mean-field approaches have been used in many fields, not only in Physics and Chemistry, but also recently in Finance, Economics, and Game Theory. In this paper we will study a new special mean-field problem in a purely…
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…
We study a population of $N$ particles, which evolve according to a diffusion process and interact through a dynamical network. In turn, the evolution of the network is coupled to the particles' positions. In contrast with the mean-field…
This paper is devoted to the problem of approximating non-linear Stochastic Partial Differential Equations (SPDEs) via interacting particle systems. In particular, we consider the Stochastic McKean-Vlasov equation, which is the…
In this work, we present a general Milstein-type scheme for McKean-Vlasov stochastic differential equations (SDEs) driven by Brownian motion and Poisson random measure and the associated system of interacting particles where drift,…
We study in this paper the longtime behavior of some large but finite populations of interacting stochastic differential equations whose (infinite population) limit Fokker-Planck PDE admits a stable periodic solution. We show that the…
We study a stochastic Laplacian growth model, where a set $\mathbf{U}\subseteq\mathbb{R}^{\mathrm{d}}$ grows according to a reflecting Brownian motion in $\mathbf{U}$ stopped at level sets of its boundary local time. We derive a scaling…
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…
The Dean-Kawasaki (DK) equation is a stochastic partial differential equation (SPDE) for the global density $\rho$ of a gas of $N$ over-damped Brownian particles. In the thermodynamic limit $N\rightarrow \infty$ with weak pairwise…
This paper studies the boundary behaviour at mechanical equilibrium at the ends of a finite interval of a class of systems of interacting particles with monotone decreasing repulsive force. Our setting covers pile-ups of dislocations,…
We study a one-dimensional McKean-Vlasov stochastic differential equation (SDE) with a drift equal to a product of a distribution depending on the state of the process and a non-linear function depending pointwise on the law density of the…
In this paper, we deal with Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in [3]. We extend the recent work [2] of…
We introduce and analyse a continuum model for an interacting particle system of Vicsek type. The model is given by a non-linear kinetic partial differential equation (PDE) describing the time-evolution of the density $f_t$, in the single…
The Random Batch Method proposed in our previous work [Jin et al., J. Comput. Phys., 400(1), 2020] is not only a numerical method for interacting particle systems and its mean-field limit, but also can be viewed as a model of particle…
We investigate a moving boundary problem for a Brownian particle on the semi-infinite line in which the boundary moves by a distance proportional to the time between successive collisions of the particle and the boundary. Phenomenologically…