Self-attracting diffusions: Case of the constant interaction

DOI10.1007/S004400050082MaRDI QIDQ679161zbMATH OpenOpenAlexFDO

Authors Olivier Raimond

Publication date 3 February 1998

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s004400050082

zbMATH Keywords

Brownian motiondiffusionsrestoring driftself-attracting diffusionsstochastic equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Review text

The paper deals with a stochastic equation of the form \[ dX_t= dB_t-\sigma \int^t_0 {X_t-X_s \over |X_t- X_s|} ds dt \] with \(X_0=0\), where \(\sigma\) is a positive constant and \(B_t\) is a \(d\)-dimensional Brownian motion. This equation describes a diffusion process attracted by its own trajectories. It has been studied before by M. Cranston and Y. Le Jan in the one-dimensional case. In the present paper the general \(d\)-dimensional case is considered. The main theorem states that the solution \(X_t\) converges almost surely. The proof requires new ideas with respect to the one-dimensional case, and in particular a good understanding of the action of the restoring drift.

Recommendations

• Rate of convergence of some self-attracting diffusions
• Boundedness and convergence of some self-attracting diffusions
• Self-interacting diffusions.

Cited in

(19)

• Self-interacting diffusions: a simulated annealing version
• On self attracting/repelling diffusions
• Boundedness and convergence of some self-attracting diffusions
• Excited Brownian motions as limits of excited random walks
• The ODE method for some self-interacting diffusions on \(\mathbb R^d\)
• Long time behaviour and stationary regime of memory gradient diffusions
• Rate of convergence of some self-attracting diffusions
• Self-interacting diffusions. III: Symmetric interactions
• Self-repelling diffusions via an infinite dimensional approach
• Self attracting diffusions on a sphere and application to a periodic case
• Random walk with memory
• Some particular self-interacting diffusions: ergodic behaviour and almost sure convergence
• Current fluctuations of a self-interacting diffusion on a ring
• Self-repelling diffusions on a Riemannian manifold
• Occupied processes: going with the flow
• Self-interacting approximation to McKean-Vlasov long-time limit: a Markov chain Monte Carlo method
• Accelerated first-passage dynamics in a non-Markovian feedback Ornstein-Uhlenbeck process
• An asymptotic result for Brownian polymers
• Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: a large deviations approach

This page was built for publication: Self-attracting diffusions: Case of the constant interaction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q679161)