Self attracting diffusions on a sphere and application to a periodic case

DOI10.1214/16-ECP4547MaRDI QIDQ303686zbMATH OpenFDO

Authors Carl-Erik Gauthier

Publication date 22 August 2016

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.04827, https://projecteuclid.org/euclid.ecp/1470081068

zbMATH Keywords

almost sure convergenceconvergence ratestochastic differential equationsself-interacting diffusionsasymptotic pseudotrajectoriesreinforced processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17)

Abstract: This paper proves almost-sure convergence for the self-attracting diffusion on the unit sphere ${\displaystyle }$dX(t)=sigma dW_{t}(X(t))-aint_{0}^{t} abla_{mathbb{S}^n}V_{X_s}(X_t) dsdt,qquad X(0)=xinmathbb{S}^n ${\displaystyle }$ %given by the stochastic differential equation: ${\displaystyle }$dX_{t}=sigma dW_{t}+aint_{0}^{t}sin(X_{t}-X_{s})dsdt, ${\displaystyle }$ where $sigma>0$, $a<0$, $V_y(x)=langlex,yangle$ is the usual scalar product in $mathbb{R}^n$, and $(W_t(.){)}_{tgeqslant0}$ is a Brownian motion on $mathbb{S}^n$. From this follows the almost-sure convergence of the real-valued self-attracting diffusion ${\displaystyle }$dvartheta_{t}=sigma dW_{t}+aint_{0}^{t}sin(vartheta_{t}-vartheta_{s})dsdt, ${\displaystyle }$ where $(W_t{)}_{tgeqslant0}$ is a real Brownian motion.

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Cited in

(11)

• Strongly self-interacting processes on the circle
• Asymptotic properties for quadratic functionals of linear self-repelling diffusion process and applications
• Asymptotic behaviour on the linear self-interacting diffusion driven by α-stable motion
• Oscillatory attraction and repulsion from a subset of the unit sphere or hyperplane for isotropic stable Lévy processes
• Rate of convergence of some self-attracting diffusions
• On self attracting/repelling diffusions
• The long time behavior of the fractional Ornstein-Uhlenbeck process with linear self-repelling drift
• Deviation properties for linear self-attracting diffusion process and applications
• The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications
• Least squares estimation for the linear self-repelling diffusion driven by \(\alpha \)-stable motions
• Convergence and parameter estimation of the linear weighted-fractional self-repelling diffusion

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