Publication:981024

DOI10.1016/J.SPA.2010.03.009zbMath1197.60052arXiv0903.2460OpenAlexW2159128225MaRDI QIDQ981024

Samuel Herrmann, Julian Tugaut

Publication date: 8 July 2010

Published in: Stochastic Processes and their Applications, ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: We investigate the existence of invariant measures for self-stabilizing diffusions. These stochastic processes represent roughly the behavior of some Brownian particle moving in a double-well landscape and attracted by its own law. This specific self-interaction leads to nonlinear stochastic differential equations and permits to point out singular phenomenons like non uniqueness of associated stationary measures. The existence of several invariant measures is essentially based on the non convex environment and requires generalized Laplace's method approximations.

Full work available at URL: https://arxiv.org/abs/0903.2460

zbMATH Keywords

fixed point theoremLaplace methoddouble-well potentialstationary measuresLaplace's methodperturbed dynamical systemMcKean-Vlasov stochastic differential equationsself-interacting diffusionperturbed dynamical systemsMcKean-Vlasov equation, stationary measures

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Diffusion processes (60J60)

Cites Work

• Large deviations and a Kramers' type law for self-stabilizing diffusions
• Nonlinear self-stabilizing processes. I: Existence, invariant probability, propagation of chaos
• Nonlinear self-stabilizing processes. II: Convergence to invariant probability
• A certain class of diffusion processes associated with nonlinear parabolic equations
• A law of large numbers for moderately interacting diffusion processes
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
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