Some fluctuation results for weakly interacting multi-type particle systems

DOI10.1016/J.SPA.2016.01.010MaRDI QIDQ288830zbMATH OpenOpenAlexFDO

Authors Ruoyu Wu, Amarjit Budhiraja

Publication date 27 May 2016

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

Full work available at URL https://arxiv.org/abs/1505.00856

zbMATH Keywords

central limit theoremsexchangeabilityfluctuation limitslaw of large numbersmean field interactionmultiple Wiener integralspropagation of chaossymmetric statisticsweakly interacting diffusionsweakly interacting multi-type particle systems

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Exchangeability for stochastic processes (60G09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Abstract: A collection of $N$-diffusing interacting particles where each particle belongs to one of $K$ different populations is considered. Evolution equation for a particle from population $k$ depends on the $K$ empirical measures of particle states corresponding to the various populations and the form of this dependence may change from one population to another. In addition, the drift coefficients in the particle evolution equations may depend on a factor that is common to all particles and which is described through the solution of a stochastic differential equation coupled, through the empirical measures, with the $N$-particle dynamics. We are interested in the asymptotic behavior as $Noinfty$. Although the full system is not exchangeable, particles in the same population have an exchangeable distribution. Using this structure, one can prove using standard techniques a law of large numbers result and a propagation of chaos property. In the current work we study fluctuations about the law of large number limit. For the case where the common factor is absent the limit is given in terms of a Gaussian field whereas in the presence of a common factor it is characterized through a mixture of Gaussian distributions. We also obtain, as a corollary, new fluctuation results for disjoint sub-families of single type particle systems, i.e. when $K=1$. Finally, we establish limit theorems for multi-type statistics of such weakly interacting particles, given in terms of multiple Wiener integrals.

Recommendations

• Limiting law of the fluctuation processes associated with the systems of randomly interacting particles with collisions
• scientific article; zbMATH DE number 3925952
• On mean field systems with multi-classes
• scientific article; zbMATH DE number 4149330
• On the McKean-Vlasov Limit for Interacting Diffusions

Cites work

• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• A martingale approach to the law of large numbers for weakly interacting stochastic processes
• A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems
• Central limit results for jump diffusions with mean field interaction and a common factor
• Central limit theorem for a system of Markovian particles with mean field interactions
• Convergence of the fluctuations for interacting diffusions with jumps associated with boltzmann equations
• scientific article; zbMATH DE number 3879839 (Why is no real title available?)
• scientific article; zbMATH DE number 4211245 (Why is no real title available?)
• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• Macroscopic limit of a bipartite Curie-Weiss model: a dynamical approach
• Mean-field description and propagation of chaos in networks of Hodgkin-Huxley and FitzHugh-Nagumo neurons
• Nonlinear reflecting diffusion process, and the propagation of chaos and fluctuations associated
• On the uniqueness of solutions of stochastic differential equations
• Particle representations for a class of nonlinear SPDEs
• PHASE TRANSITIONS IN SOCIAL SCIENCES: TWO-POPULATION MEAN FIELD THEORY
• Stochastic particle approximations for generalized Boltzmann models and convergence estimates
• Symmetric statistics, Poisson point processes, and multiple Wiener integrals
• The law of large numbers for self-exciting correlated defaults
• The Vlasov dynamics and its fluctuations in the \(1/N\) limit of interacting classical particles

Cited in

(13)

• Asymptotic fluctuations of a particle system with singular interaction.
• Weakly interacting particle systems on inhomogeneous random graphs
• Multivariate Hawkes processes on inhomogeneous random graphs
• Partial mean field limits in heterogeneous networks
• On mean field systems with multi-classes
• Moderate deviation principles for weakly interacting particle systems
• INFINITE INTERACTING PARTICLE SYSTEMS: THE FLUCTUATION PHENOMENON
• Gaussian fluctuations for interacting particle systems with singular kernels
• Central limit theorems for global and local empirical measures of diffusions on Erdős-Rényi graphs
• Graphon mean field systems
• Propagation of chaos and large deviations in mean-field models with jumps on block-structured networks
• The fluctuation behaviour of the stochastic point vortex model with common noise
• Mean field systems on networks, with singular interaction through hitting times

This page was built for publication: Some fluctuation results for weakly interacting multi-type particle systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q288830)