Large-population asymptotics for the maximum of diffusive particles with mean-field interaction in the noises

DOI10.1016/J.SPL.2024.110150zbMATH Open1543.60119MaRDI QIDQ6580282FDOQ6580282

Authors: Nikolaos Kolliopoulos, David Sanchez, Amy Xiao 

Publication date: 29 July 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

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zbMATH Keywords

weak convergencenumerical simulationspropagation of chaosextreme value distributionsmean-field systems

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Title not available (Why is that?)
• Asymptotic distribution and moments of normal extremes
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• Mean field games and systemic risk
• Systemic risk in interbanking networks
• Propagation of chaos: a review of models, methods and applications. I: Models and methods

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