Mean field systems on networks, with singular interaction through hitting times

DOI10.1214/19-AOP1403zbMATH Open1448.82032arXiv1807.02015OpenAlexW3036229713MaRDI QIDQ784182FDOQ784182

Mykhaylo Shkolnikov, Sergey Nadtochiy

Publication date: 31 July 2020

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

Abstract: Building on the line of work [DIRT15a], [DIRT15b], [NS17a], [DT17], [HLS18], [HS18] we continue the study of particle systems with singular interaction through hitting times. In contrast to the previous research, we (i) consider very general driving processes and interaction functions, (ii) allow for inhomogeneous connection structures, and (iii) analyze a game in which the particles determine their connections strategically. Hereby, we uncover two completely new phenomena. First, we characterize the "times of fragility" of such systems (e.g., the times when a macroscopic part of the population defaults or gets infected simultaneously, or when the neuron cells "synchronize") explicitly in terms of the dynamics of the driving processes, the current distribution of the particles' values, and the topology of the underlying network (represented by its Perron-Frobenius eigenvalue). Second, we use such systems to describe a dynamic credit-network game and show that, in equilibrium, the system regularizes: i.e., the times of fragility never occur, as the particles avoid them by adjusting their connections strategically. Two auxiliary mathematical results, useful in their own right, are uncovered during our investigation: a generalization of Schauder's fixed-point theorem for the Skorokhod space with the M1 topology, and the application of the max-plus algebra to the equilibrium version of the network flow problem.

Full work available at URL: https://arxiv.org/abs/1807.02015

Recommendations

• Particle systems with a singular mean-field self-excitation. Application to neuronal networks
• Captivity of mean-field particle systems and the related exit problems
• Stationary mean field games systems defined on networks
• Finite horizon mean field games on networks
• Singular mean-field control games

zbMATH Keywords

Nash equilibriumdynamic gamesmax-plus algebrasystemic riskparticle systemsSchauder's fixed-point theoremcascadesself-excitationnetwork flow problemdirected weighted graphscredit network gameM1 topologymean field games on graphsPerron- Frobenius eigenvalueregularization through a gamesingular interaction through hitting timestimes of fragility

Mathematics Subject Classification ID

Neural biology (92C20) Games on graphs (graph-theoretic aspects) (05C57) Fixed-point and coincidence theorems (topological aspects) (54H25) Interacting particle systems in time-dependent statistical mechanics (82C22)

Cites Work

• Title not available (Why is that?)
• The phase transition in inhomogeneous random graphs
• Title not available (Why is that?)
• Mean field games
• Stochastic-Process Limits
• Title not available (Why is that?)
• Title not available (Why is that?)
• Large deviations techniques and applications.
• Analysis of nonlinear noisy integrate \& fire neuron models: blow-up and steady states
• Mean-field description and propagation of chaos in networks of Hodgkin-Huxley and FitzHugh-Nagumo neurons
• Mean stochastic comparison of diffusions
• Markets with a Continuum of Traders
• Title not available (Why is that?)
• Entry and Exit in OTC Derivatives Markets
• Some fluctuation results for weakly interacting multi-type particle systems
• Ein Fixpunktsatz
• A regularity condition on the transition probability measure of a diffusion process
• Beyond blow-up in excitatory integrate and fire neuronal networks: refractory period and spontaneous activity
• Particle systems with a singular mean-field self-excitation. Application to neuronal networks
• Global solvability of a networked integrate-and-fire model of McKean-Vlasov type
• Diffusion with interactions and collisions between coloured particles and the propagation of chaos
• A critical case for the solvability of stefan-like problems
• New results on some classical parabolic free-boundary problems
• Criticality of a randomly-driven front
• Particle systems with singular interaction through hitting times: application in systemic risk modeling
• Some remarks on the regularization of supercooled one-phase Stefan problems in one dimension
• Probabilistic Theory of Mean Field Games with Applications II
• Remarks on the Schauder-Tychonoff fixed point theorem
• An SPDE model for systemic risk with endogenous contagion
• Weakly interacting particle systems on inhomogeneous random graphs
• A McKean-Vlasov equation with positive feedback and blow-ups
• Title not available (Why is that?)
• Mean field games: A toy model on an Erdös-Renyi graph.

Cited In (21)

• Graphon mean field systems
• Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary
• Receding horizon control for continuous-time mean-field systems
• Mean field games with absorption and common noise with a model of bank run
• Global solutions to the supercooled Stefan problem with blow-ups: regularity and uniqueness
• Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
• A singular two-phase Stefan problem and particles interacting through their hitting times
• Zero kinetic undercooling limit in the supercooled Stefan problem
• At the mercy of the common noise: blow-ups in a conditional McKean-Vlasov problem
• Mean-field and graph limits for collective dynamics models with time-varying weights
• Pathwise McKean-Vlasov theory with additive noise
• McKean-Vlasov equations with positive feedback through elastic stopping times
• Towards a further understanding of the dynamics in the excitatory NNLIF neuron model: blow-up and global existence
• Local weak convergence for sparse networks of interacting processes
• Propagation of minimality in the supercooled Stefan problem
• Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem
• Uniqueness for contagious McKean–Vlasov systems in the weak feedback regime
• Rigorous Justification of the Fokker--Planck Equations of Neural Networks Based on an Iteration Perspective
• Contagious McKean-Vlasov systems with heterogeneous impact and exposure
• \(N\)-player games and mean-field games with smooth dependence on past absorptions
• Locally interacting diffusions as Markov random fields on path space

This page was built for publication: Mean field systems on networks, with singular interaction through hitting times

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q784182)