Large deviations for diffusions interacting through their ranks
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Publication:2812290
DOI10.1002/CPA.21640zbMATH Open1341.60010arXiv1211.5223OpenAlexW2963946700MaRDI QIDQ2812290FDOQ2812290
Authors: Amir Dembo, Mykhaylo Shkolnikov, Ofer Zeitouni, S. R. S. Varadhan 
Publication date: 16 June 2016
Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)
Abstract: We prove a Large Deviations Principle (LDP) for systems of diffusions (particles) interacting through their ranks, when the number of particles tends to infinity. We show that the limiting particle density is given by the unique solution of the approriate McKean-Vlasov equation and that the corresponding cumulative distribution function evolves according to the porous medium equation with convection. The large deviations rate function is provided in explicit form. This is the first instance of a LDP for interacting diffusions, where the interaction occurs both through the drift and the diffusion coefficients and where the rate function can be given explicitly. In the course of the proof, we obtain new regularity results for a certain tilted version of the porous medium equation.
Full work available at URL: https://arxiv.org/abs/1211.5223
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Large deviations (60F10) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cited In (26)
- Large rank-based models with common noise
- Large deviations principle for finite system of heavy diffusion particles
- Uniqueness for a weak nonlinear evolution equation and large deviations for diffusing particles with electrostatic repulsion
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