Transition from Gaussian to non-Gaussian fluctuations for mean-field diffusions in spatial interaction

DOI10.1214/16-AAP1194zbMATH Open1358.60104arXiv1502.00532OpenAlexW3103517479WikidataQ105584291 ScholiaQ105584291MaRDI QIDQ511491FDOQ511491

Eric Luçon, Wilhelm Stannat

Publication date: 21 February 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We consider a system of $N$ disordered mean-field interacting diffusions within spatial constraints: each particle $het{a}_i$ is attached to one site $x_i$ of a periodic lattice and the interaction between particles $het{a}_i$ and $het{a}_j$ decreases as $|x_i-x_j{|}^{-alpha}$ for $alphain[0,1)$. In a previous work, it was shown that the empirical measure of the particles converges in large population to the solution of a nonlinear partial differential equation of McKean-Vlasov type. The purpose of the present paper is to study the fluctuations associated to this convergence. We exhibit in particular a phase transition in the scaling and in the nature of the fluctuations: when $alphain[0,frac12)$, the fluctuations are Gaussian, governed by a linear SPDE, with scaling $sqrtN$ whereas the fluctuations are deterministic with scaling $N^{1-alpha}$ in the case $alphain(frac12,1)$.

Full work available at URL: https://arxiv.org/abs/1502.00532

zbMATH Keywords

stochastic partial differential equationsfluctuationsKuramoto modelweakly interacting diffusionsneuronal modelsspatially-extended particle systemsweighted empirical measures

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Random measures (60G57) Dynamic lattice systems (kinetic Ising, etc.) and systems on graphs in time-dependent statistical mechanics (82C20)

Cited In (16)

• Moderate deviations for fully coupled multiscale weakly interacting particle systems
• Interacting diffusions on sparse graphs: hydrodynamics from local weak limits
• Large deviations for interacting diffusions with path-dependent McKean-Vlasov limit
• Interacting diffusions on random graphs with diverging average degrees: hydrodynamics and large deviations
• On the transition from local regular to global irregular fluctuations
• A stochastic approximation for the finite-size Kuramoto-Sakaguchi model
• Mean field limits for interacting diffusions in a two-scale potential
• Finite-size effects in a stochastic Kuramoto model
• Central limit theorems for global and local empirical measures of diffusions on Erdős-Rényi graphs
• Multivariate Hawkes processes on inhomogeneous random graphs
• On a toy network of neurons interacting through their dendrites
• Gaussian fluctuations for interacting particle systems with singular kernels
• Quenched asymptotics for interacting diffusions on inhomogeneous random graphs
• Fluctuations for spatially extended Hawkes processes
• Large deviations for interacting multiscale particle systems
• Mean Field Limits for Interacting Diffusions with Colored Noise: Phase Transitions and Spectral Numerical Methods

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