Non-uniqueness of stationary measures for self-stabilizing processes

DOI10.1016/J.SPA.2010.03.009zbMATH Open1197.60052arXiv0903.2460OpenAlexW2159128225MaRDI QIDQ981024FDOQ981024

Samuel Herrmann, Julian Tugaut

Publication date: 8 July 2010

Published in: Stochastic Processes and their Applications, ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: We investigate the existence of invariant measures for self-stabilizing diffusions. These stochastic processes represent roughly the behavior of some Brownian particle moving in a double-well landscape and attracted by its own law. This specific self-interaction leads to nonlinear stochastic differential equations and permits to point out singular phenomenons like non uniqueness of associated stationary measures. The existence of several invariant measures is essentially based on the non convex environment and requires generalized Laplace's method approximations.

Full work available at URL: https://arxiv.org/abs/0903.2460

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zbMATH Keywords

fixed point theoremLaplace methodLaplace's methodperturbed dynamical systemdouble-well potentialstationary measuresMcKean-Vlasov stochastic differential equationsself-interacting diffusionperturbed dynamical systemsMcKean-Vlasov equation, stationary measures

Mathematics Subject Classification ID

Diffusion processes (60J60) Stationary stochastic processes (60G10) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (41)

• Captivity of the solution to the granular media equation
• A note on uniform in time mean-field limit in graphs
• Parametric inference for ergodic McKean-Vlasov stochastic differential equations
• A variational approach to nonlinear and interacting diffusions
• Clamping and Synchronization in the Strongly Coupled FitzHugh--Nagumo Model
• Sharp uniform-in-time propagation of chaos
• Metastability in a continuous mean-field model at low temperature and strong interaction
• Système de processus auto-stabilisants
• A trajectorial approach to relative entropy dissipation of McKean-Vlasov diffusions: gradient flows and HWBI inequalities
• Reflection couplings and contraction rates for diffusions
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• Coupled McKean–Vlasov diffusions: wellposedness, propagation of chaos and invariant measures
• Stationary solutions of the Vlasov-Fokker-Planck equation: existence, characterization and phase-transition
• Convergence in Wasserstein distance for self-stabilizing diffusion evolving in a double-well landscape
• Granular media equation with double-well external landscape: limiting steady state
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