Locally interacting diffusions as Markov random fields on path space

DOI10.1016/J.SPA.2021.06.007MaRDI QIDQ1979897zbMATH OpenOpenAlexFDO

Authors Daniel Lacker, Kavita Ramanan, Ruoyu Wu

Publication date 3 September 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1911.01300

zbMATH Keywords

Gibbs measuresMarkov random fieldsinteracting diffusionsinfinite-dimensional stochastic differential equationsGibbs measures on path spacestochastic processes on graphs

Mathematics Subject Classification ID

Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic lattice systems (kinetic Ising, etc.) and systems on graphs in time-dependent statistical mechanics (82C20)

Abstract: We consider a countable system of interacting (possibly non-Markovian) stochastic differential equations driven by independent Brownian motions and indexed by the vertices of a locally finite graph $G=(V,E)$. The drift of the process at each vertex is influenced by the states of that vertex and its neighbors, and the diffusion coefficient depends on the state of only that vertex. Such processes arise in a variety of applications including statistical physics, neuroscience, engineering and math finance. Under general conditions on the coefficients, we show that if the initial conditions form a second-order Markov random field on $d$-dimensional Euclidean space, then at any positive time, the collection of histories of the processes at different vertices forms a second-order Markov random field on path space. We also establish a bijection between (second-order) Gibbs measures on $(R^d{)}^V$ (with finite second moments) and a set of space-time (second-order) Gibbs measures on path space, corresponding respectively to the initial law and the law of the solution to the stochastic differential equation. As a corollary, we establish a Gibbs uniqueness property that shows that for infinite graphs the joint distribution of the paths is completely determined by the initial condition and the specifications, namely the family of conditional distributions on finite vertex sets given the configuration on the complement. Along the way, we establish various approximation and projection results for Markov random fields on locally finite graphs that may be of independent interest.

Recommendations

• scientific article; zbMATH DE number 4080537
• Interacting Brownian particles and Gibbs fields on pathspaces
• Stationary solutions and local equations for interacting diffusions on regular trees
• DIFFUSION PROCESSES ON PATH SPACES WITH INTERACTIONS
• Interacting diffusions in a random medium: comparison and longtime behavior.

Cites work

• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1134987 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• scientific article; zbMATH DE number 2139713 (Why is no real title available?)
• scientific article; zbMATH DE number 3322635 (Why is no real title available?)
• A Gibson approach to infinite-dimensional Brownian diffusions
• A characterization of Gibbs measures on \(C(0,1)^{\mathbb{Z}^ d}\) by the stochastic calculus of variations
• A course on large deviations with an introduction to Gibbs measures
• Concentration inequalities. A nonasymptotic theory of independence
• Directed chain stochastic differential equations
• Exponential inequalities for martingales, with application to maximum likelihood estimation for counting processes
• Fano's inequality for random variables
• Gibbs measures and phase transitions.
• Gibbs states on space-time
• Gibbs-non-Gibbs properties for \(n\)-vector lattice and mean-field models
• Gibbsianness versus non-Gibbsianness of time-evolved planar rotor models
• Infinite-dimensional diffusion processes as Gibbs measures on \(C[0,1]^{Z^ d}\)
• Interacting Brownian particles and Gibbs fields on pathspaces
• Loss without recovery of gibbsianness during diffusion of continuous spins
• Mean field limit for disordered diffusions with singular interactions
• Mean field systems on networks, with singular interaction through hitting times
• On extremal solutions of martingale problems
• Path-dependent infinite-dimensional SDE with non-regular drift: an existence result
• Propagation of Gibbsianness for infinite-dimensional diffusions with space-time interaction
• Propagation of Gibbsianness for infinite-dimensional gradient Brownian diffusions
• Short-time Gibbsianness for infinite-dimensional diffusions with space-time interaction
• The continuum limit of the Kuramoto model on sparse random graphs
• When a stochastic exponential is a true martingale. Extension of the Beneš method

Cited in

(9)

• scientific article; zbMATH DE number 5773220 (Why is no real title available?)
• Marginal dynamics of interacting diffusions on unimodular Galton-Watson trees
• Supercritical spatial SIR epidemics: spreading speed and herd immunity
• Smoothness of directed chain stochastic differential equations
• DIFFUSION PROCESSES ON PATH SPACES WITH INTERACTIONS
• Path large deviations for interacting diffusions with local mean-field interactions in random environment
• Stationary solutions and local equations for interacting diffusions on regular trees
• Local weak convergence for sparse networks of interacting processes
• Interacting stochastic processes on sparse random graphs

This page was built for publication: Locally interacting diffusions as Markov random fields on path space

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1979897)