McKean-Vlasov diffusions: from the asynchronization to the synchronization (Q640897): Difference between revisions
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Latest revision as of 14:03, 4 July 2024
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English | McKean-Vlasov diffusions: from the asynchronization to the synchronization |
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McKean-Vlasov diffusions: from the asynchronization to the synchronization (English)
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21 October 2011
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Given a random variable \(X_0\), consider the real valued diffusion process \[ X_t= X_0+ \sqrt{\varepsilon} B_t- \int^t_0 W^1_s(X_s)\,ds,\tag{1} \] for a potential \(W_s\) of the form \(V+ F* L(X_s)\), where J\(*\) denotes the convolution product and \(L(X_s)\) the law of \(X_s\). The functions \(V\) and \(F\) considered in this note are \({x^4\over 4}- {x^2\over 2}\) and \({\alpha\over 2} x^2\), for some \(\alpha> 0\), respectively. It is known that for \(\alpha\neq 1\) the order of the speed of convergence of the unique symmetric stationary measure for (1) when \(\varepsilon\) goes to \(0\) is \(\varepsilon\). This is in contrast with the case \(\alpha=1\), for which it is of order \(\varepsilon^{1/2}\). The author shows in this note that this difference of bihaviour is removed by the introduction of the parameter \(\varepsilon\) in the potential after a suitable change of scales.
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McKean-Vlasov diffusions
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symmetric stationary measures
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