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2012 Exit problem of McKean-Vlasov diffusions in convex landscapes
Julian Tugaut
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Electron. J. Probab. 17(none): 1-26 (2012). DOI: 10.1214/EJP.v17-1914

Abstract

The exit time and the exit location of a non-Markovian diffusion is analyzed. More particularly, we focus on the so-called self-stabilizing process. The question has been studied by Herrmann, Imkeller and Peithmann (in 2008) with results similar to those by Freidlin and Wentzell. We aim to provide the same results by a more intuitive approach and without reconstructing the proofs of Freidlin and Wentzell. Our arguments are as follows. In one hand, we establish a strong version of the propagation of chaos which allows to link the exit time of the McKean-Vlasov diffusion and the one of a particle in a mean-field system. In the other hand, we apply the Freidlin-Wentzell theory to the associated mean field system, which is a Markovian diffusion.

Citation

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Julian Tugaut. "Exit problem of McKean-Vlasov diffusions in convex landscapes." Electron. J. Probab. 17 1 - 26, 2012. https://doi.org/10.1214/EJP.v17-1914

Information

Accepted: 12 September 2012; Published: 2012
First available in Project Euclid: 4 June 2016

zbMATH: 1255.60101
MathSciNet: MR2981901
Digital Object Identifier: 10.1214/EJP.v17-1914

Subjects:
Primary: 60F10
Secondary: 60H10, 60J60, 82C22

JOURNAL ARTICLE
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Vol.17 • 2012
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