Locally interacting diffusions as Markov random fields on path space

DOI10.1016/J.SPA.2021.06.007zbMATH Open1475.60105arXiv1911.01300OpenAlexW3176098767MaRDI QIDQ1979897FDOQ1979897

Authors: Daniel Lacker, Kavita Ramanan, Ruoyu Wu 

Publication date: 3 September 2021

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

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.

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

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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)

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Cited In (9)

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• 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

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