A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems

DOI10.4310/CMS.2004.v2.n3.a1zbMath1087.60050OpenAlexW2073694017MaRDI QIDQ2583447

Thomas G. Kurtz, Jie Xiong

Publication date: 16 January 2006

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cms.2004.v2.n3.a1

zbMATH Keywords

central limit theoremstochastic partial differential equationEuler schemeinteracting infinite particle system

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Functional limit theorems; invariance principles (60F17) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) (L^p)-limit theorems (60F25)

Related Items (23)

Moderate deviation principles for weakly interacting particle systems ⋮ Some fluctuation results for weakly interacting multi-type particle systems ⋮ Fluctuation limit for interacting diffusions with partial annihilations through membranes ⋮ Systemic Risk and Default Clustering for Large Financial Systems ⋮ Particle representations for stochastic partial differential equations with boundary conditions ⋮ Evolving communities with individual preferences ⋮ Rate of homogenization for fully-coupled McKean–Vlasov SDEs ⋮ Fluctuation analysis for the loss from default ⋮ Gaussian fluctuations for interacting particle systems with singular kernels ⋮ From the master equation to mean field game limit theory: a central limit theorem ⋮ Fluctuation analysis for particle-based stochastic reaction-diffusion models ⋮ Fluctuations for spatially extended Hawkes processes ⋮ Central limit theorems for global and local empirical measures of diffusions on Erdős-Rényi graphs ⋮ Particle filters with random resampling times ⋮ Long-time behavior of stochastic Hamilton-Jacobi equations ⋮ A branching particle approximation to a filtering micromovement model of asset price ⋮ Master equation for finite state mean field games with additive common noise ⋮ Weakly interacting particle systems on inhomogeneous random graphs ⋮ Joint continuity of the solutions to a class of nonlinear SPDEs ⋮ Mean field analysis of neural networks: a central limit theorem ⋮ Infinite-dimensional regularization of McKean-Vlasov equation with a Wasserstein diffusion ⋮ On the differential equation satisfied by the random measure density of a jump-type Fleming–Viot process ⋮ Numerical solution for a class of SPDEs over bounded domains

This page was built for publication: A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems