Self-interacting diffusions. IV: Rate of convergence

DOI10.1214/EJP.V16-948MaRDI QIDQ428553zbMATH OpenOpenAlexFDO

Authors Michel Benaïm, Olivier Raimond

Publication date 22 June 2012

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0907.5468

zbMATH Keywords

reinforced processesself-interacting random processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic approximation (62L20)

Abstract: Self-interacting diffusions are processes living on a compact Riemannian manifold defined by a stochastic differential equation with a drift term depending on the past empirical measure of the process. The asymptotics of this measure is governed by a deterministic dynamical system and under certain conditions it converges almost surely towards a deterministic measure (see Bena"im, Ledoux, Raimond (2002) and Bena"im, Raimond (2005)). We are interested here in the rate of this convergence. A central limit theorem is proved. In particular, this shows that greater is the interaction repelling faster is the convergence.

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• Boundedness and convergence of some self-attracting diffusions
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• Convergence in distribution of some self-interacting diffusions
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• A mean-field approach to self-interacting networks, convergence and regularity
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• 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
• Brownian particles controlled by their occupation measure
• Self-interacting processes via Doob conditioning

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