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Subject: particle systems ×

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    Projected particle methods for solving McKean-Vlasov equations
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2016) Belomestny, Denis; Schoenmakers, John G.M.
    We study a novel projection-based particle method to the solution of the corresponding McKean-Vlasov equation. Our approach is based on the projection-type estimation of the marginal density of the solution in each time step. The projection-based particle method can profit from additional smoothness of the underlying density and leads in many situation to a signficant reduction of numerical complexity compared to kernel density estimation algorithms. We derive strong convergence rates and rates of density estimation. The case of linearly growing coefficients of the McKean-Vlasov equation turns out to be rather challenging and requires some new type of averaging technique. This case is exemplified by explicit solutions to a class of McKean-Vlasov equations with affine drift.
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    Dislocation dynamics in crystals: A macroscopic theory in a fractional Laplace setting
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2013) Dipierro, Serena; Palatucci, Giampiero; Valdinoci, Enrico
    We consider an evolution equation arising in the PeierlsNabarro model for crystal dislocation. We study the evolution of such dislocation function and show that, at a macroscopic scale, the dislocations have the tendency to concentrate at single points of the crystal, where the size of the slip coincides with the natural periodicity of the medium. these dislocation points evolve according to the external stress and an interior repulsive potential.
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    Dynamical phase transitions for flows on finite graphs
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2020) Gabrielli, Davide; Renger, D. R. Michiel
    We study the time-averaged flow in a model of particles that randomly hop on a finite directed graph. In the limit as the number of particles and the time window go to infinity but the graph remains finite, the large-deviation rate functional of the average flow is given by a variational formulation involving paths of the density and flow. We give sufficient conditions under which the large deviations of a given time averaged flow is determined by paths that are constant in time. We then consider a class of models on a discrete ring for which it is possible to show that a better strategy is obtained producing a time-dependent path. This phenomenon, called a dynamical phase transition, is known to occur for some particle systems in the hydrodynamic scaling limit, which is thus extended to the setting of a finite graph.
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    On the relation between gradient flows and the large-deviation principle, with applications to Markov chains and diffusion
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2013) Mielke, Alexander; Peletier, Mark A.; Renger, D.R. Michiel
    Motivated by the occurence in rate functions of time-dependent large-deviation principles, we study a class of non-negative functions L that induce a flow, given by L(pt, pt) = 0. We derive necessary and sufficient conditions for the unique existence of a generalized gradient structure for the induced flow, as well as explicit formulas for the corresponding driving entropy and dissipation functional. In particular, we show how these conditions can be given a probabilistic interpretation when L is associated to the large deviations of a microscopic particle system. Finally, we illustrate the theory for independent Brownian particles with drift, which leads to the entropy-Wasserstein gradient structure, and for independent Markovian particles on a finite state space, which leads to a previously unknown gradient structure.