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

DOI10.1214/16-AAP1194MaRDI QIDQ511491zbMATH OpenOpenAlexWikidataFDO

Authors Eric Luçon, Wilhelm Stannat

Publication date 21 February 2017

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

Full work available at URL https://arxiv.org/abs/1502.00532, https://projecteuclid.org/euclid.aoap/1481792601

zbMATH Keywords

fluctuationsKuramoto modelneuronal modelsspatially-extended particle systemsstochastic partial differential equationsweakly interacting diffusionsweighted empirical measures

Mathematics Subject Classification ID

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

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 $alphain(frac12,1)$.

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Cited in

(20)

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• Large deviations for interacting multiscale particle systems
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• Quenched asymptotics for interacting diffusions on inhomogeneous random graphs
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• Finite-size effects in a stochastic Kuramoto model
• Mean field limits for interacting diffusions with colored noise: phase transitions and spectral numerical methods
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• Central limit theorems for global and local empirical measures of diffusions on Erdős-Rényi graphs
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• Mean field limits for interacting diffusions in a two-scale potential
• The fluctuation behaviour of the stochastic point vortex model with common noise
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