相关论文: Quantitative weak propagation of chaos for McKean-…
In this article, we study the mean field limit of weakly interacting diffusions for confining and interaction potentials that are not necessarily convex. We explore the relationship between the large $N$ limit of the constant in the…
We study a finite system of diffusions on the half-line, absorbed when they hit zero, with a correlation effect that is controlled by the proportion of the processes that have been absorbed. As the number of processes in the system becomes…
The propagation of fronts in the Fisher-Kolmogorov equation with spatially varying diffusion coefficients is studied. Using coordinate changes, WKB approximations, and multiple scales analysis, we provide an analytic framework that…
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…
In contrast to ordinary stochastic differential equations (SDEs), the numerical simulation of McKean-Vlasov stochastic differential equations (MV-SDEs) requires approximating the distribution law first. Based on the theory of propagation of…
Given an It\=o semimartingale with a time-homogeneous jump part observed at high frequency, we prove weak convergence of a normalized truncated empirical distribution function of the L\'evy measure to a Gaussian process. In contrast to…
In June 2012 on a conference in Bielefeld, after the author made the presentation of his theory of nonlinear Markov processes, Tom Kurtz asked him whether his methods would allow to get well-posedness for nonlinear McKean-Vlasov type…
This paper studies McKean-Vlasov stochastic differential equations (MVSDEs) whose drift coefficients grow super-linearly in both state variables and measure arguments, and whose diffusion coefficients exhibit super-linear growth in the…
Aim of this note is to analyse branching Brownian motion within the class of models introduced in the recent paper [4] and called chemical diffusion master equations. These models provide a description for the probabilistic evolution 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 notion of propagation of chaos for large systems of interacting particles originates in statistical physics and has recently become a central notion in many areas of applied mathematics. The present review describes old and new methods…
We consider a Vlasov-Fokker-Planck equation governing the evolution of the density of interacting and diffusive matter in the space of positions and velocities. We use a probabilistic interpretation to obtain convergence towards equilibrium…
We consider a collection of fully coupled weakly interacting diffusion processes moving in a two-scale environment. We study the moderate deviations principle of the empirical distribution of the particles' positions in the combined limit…
In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixed time interval. This problem features several obstacles to…
We exhibit conditions under which the flow of marginal distributions of a discontinuous semimartingale $\xi$ can be matched by a Markov process, whose infinitesimal generator is expressed in terms of the local characteristics of $\xi$. Our…
We study properties of chaos in generic one-dimensional nonlinear Hamiltonian lattices comprised of weakly coupled nonlinear oscillators, by numerical simulations of continuous-time systems and symplectic maps. For small coupling, the…
The notion of propagation of chaos for large systems of interacting particles originates in statistical physics and has recently become a central notion in many areas of applied mathematics. The present review describes old and new methods…
We propose several statistics to test the Markov hypothesis for $\beta$-mixing stationary processes sampled at discrete time intervals. Our tests are based on the Chapman--Kolmogorov equation. We establish the asymptotic null distributions…
In this paper we study second order stochastic differential equations with measurable and density-distribution dependent coefficients. Through establishing a maximum principle for kinetic Fokker-Planck-Kolmogorov equations with…
This paper provides a construction of a Fleming--Viot measure valued diffusion process, for which the transition function is known, by extending recent ideas of the Gibbs sampler based Markov processes. In particular, we concentrate on the…