Annealed limit for a diffusive disordered mean-field model with random jumps

Publication date 24 October 2022

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Sums of independent random variables; random walks (60G50) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35) Processes in random environments (60K37)

Abstract: We study a sequence of

N -

particle mean-field systems, each driven by

N

simple point processes

Z^{N, i}

in a random environment. Each

Z^{N, i}

has the same intensity

(f (X_{t -}^{N}))_{t}

and at every jump time of

Z^{N, i},

the process

X^{N}

does a jump of height

U_{i} / s q r t N

where the

U_{i}

are disordered centered random variables attached to each particle. We prove the convergence in distribution of

X^{N}

to some limit process

that is solution to an SDE with a random environment given by a Gaussian variable, with a convergence speed for the finite-dimensional distributions. This Gaussian variable is created by a CLT as the limit of the patial sums of the

U_{i} .

To prove this result, we use a coupling for the classical CLT relying on the result of [Koml'os, Major and Tusn'ady (1976)], that allows to compare the conditional distributions of

X^{N}

and

given the random environment, with the same Markovian technics as the ones used in [Erny, L"ocherbach and Loukianova (2022)].

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