Interacting particle systems and Yaglom limit approximation of diffusions with unbounded drift

DOI10.1214/EJP.V16-925zbMATH Open1244.82052arXiv1005.1530MaRDI QIDQ428541FDOQ428541

Denis Villemonais

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We study the existence and the exponential ergodicity of a general interacting particle system, whose components are driven by independent diffusion processes with values in an open subset of $mathds{R}^d$, $dgeq1$. The interaction occurs when a particle hits the boundary: it jumps to a position chosen with respect to a probability measure depending on the position of the whole system. Then we study the behavior of such a system when the number of particles goes to infinity. This leads us to an approximation method for the Yaglom limit of multi-dimensional diffusion processes with unbounded drift defined on an unbounded open set. While most of known results on such limits are obtained by spectral theory arguments and are concerned with existence and uniqueness problems, our approximation method allows us to get numerical values of quasi-stationary distributions, which find applications to many disciplines. We end the paper with numerical illustrations of our approximation method for stochastic processes related to biological population models.

Full work available at URL: https://arxiv.org/abs/1005.1530

zbMATH Keywords

empirical processdiffusion processinteracting particle systemquasi-stationary distributionYaglom limit

Mathematics Subject Classification ID

Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Interacting particle systems in time-dependent statistical mechanics (82C22)

Cited In (14)

• On non-extinction in a Fleming-Viot-type particle model with Bessel drift
• Quasi-invariance under flows generated by non-linear PDEs
• Stochastic approximation of quasi-stationary distributions on compact spaces and applications
• Hydrodynamic limit for the Bak-Sneppen branching diffusions
• Stochastic approximation of quasi-stationary distributions for diffusion processes in a bounded domain
• Fleming-Viot selects the minimal quasi-stationary distribution: the Galton-Watson case
• Data-driven computational methods for quasi-stationary distribution and sensitivity analysis
• Front Propagation and Quasi-Stationary Distributions: Two Faces of the Same Coin
• Quasi-stationary distributions and population processes
• Slow-fast stochastic diffusion dynamics and quasi-stationarity for diploid populations with varying size
• On laws of large numbers in \(L^2\) for supercritical branching Markov processes beyond \(\lambda \)-positivity
• The Fleming-Viot process with McKean-Vlasov dynamics
• Quantitative results for the Fleming-Viot particle system and quasi-stationary distributions in discrete space
• Convergence of the Fleming-Viot process toward the minimal quasi-stationary distribution

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