Fluctuation behaviour for interacting particle systems with common noise
Fuente:
arXiv
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| Formato: | Preprint |
| Publicado: |
2025
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| _version_ | 1866917536937803776 |
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| author | Nikolaev, Paul |
| author_facet | Nikolaev, Paul |
| contents | We consider the asymptotic behaviour of the fluctuation process for large stochastic systems of interacting particles driven by both idiosyncratic and common noise with an interaction kernel \(k \in L^2(\R^d) \cap L^\infty(\R^d)\). Our analysis relies on uniform relative entropy estimates and Kolmogorov's compactness criterion to establish tightness and convergence of the fluctuation process. In this framework, an extension of the exponential law of large numbers is used to derive the necessary uniform estimates, while a conditional Fubini theorem is employed in the identification of the limit in the presence of common noise. We demonstrate that the fluctuation process converges in distribution to the unique solution of a linear stochastic evolution equation. This work extends previous fluctuation results beyond the classical Lipschitz framework. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2504_05044 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Fluctuation behaviour for interacting particle systems with common noise Nikolaev, Paul Probability 60H15, 60K35, 60F05 We consider the asymptotic behaviour of the fluctuation process for large stochastic systems of interacting particles driven by both idiosyncratic and common noise with an interaction kernel \(k \in L^2(\R^d) \cap L^\infty(\R^d)\). Our analysis relies on uniform relative entropy estimates and Kolmogorov's compactness criterion to establish tightness and convergence of the fluctuation process. In this framework, an extension of the exponential law of large numbers is used to derive the necessary uniform estimates, while a conditional Fubini theorem is employed in the identification of the limit in the presence of common noise. We demonstrate that the fluctuation process converges in distribution to the unique solution of a linear stochastic evolution equation. This work extends previous fluctuation results beyond the classical Lipschitz framework. |
| title | Fluctuation behaviour for interacting particle systems with common noise |
| topic | Probability 60H15, 60K35, 60F05 |
| url | https://arxiv.org/abs/2504.05044 |