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Self-stabilizing processes: uniqueness problem for stationarymeasures and convergence rate in the small-noise limit

Published online by Cambridge University Press:  11 July 2012

Samuel Herrmann and
Julian Tugaut
Samuel Herrmann
Affiliation:
Institut de Mathématiques de Bourgogne, Université de Bourgogne, 9, rue Alain Savary, 21078 Dijon, France. samuel.herrmann@u-bourgogne.fr
Julian Tugaut
Affiliation:
Fakultät für Mathematik, Universität Bielefeld, 33615 Bielefeld, Germany

Abstract

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In the context of self-stabilizing processes, that is processes attracted by their ownlaw, living in a potential landscape, we investigate different properties of the invariantmeasures. The interaction between the process and its law leads to nonlinear stochasticdifferential equations. In [S. Herrmann and J. Tugaut. Electron. J. Probab.15 (2010) 2087–2116], the authors proved that, for linearinteraction and under suitable conditions, there exists a unique symmetric limit measureassociated to the set of invariant measures in the small-noise limit. The aim of thisstudy is essentially to point out that this statement leads to the existence, as the noiseintensity is small, of one unique symmetric invariant measure for the self-stabilizingprocess. Informations about the asymmetric measures shall be presented too. The main keyconsists in estimating the convergence rate for sequences of stationary measures usinggeneralized Laplace’s method approximations.

Keywords

Self-interacting diffusionMcKean–Vlasov equationstationary measuresdouble-well potentialperturbed dynamical systemLaplace’s methodfixed point theoremuniqueness problem

Information

Type
Research Article
Information
ESAIM: Probability and Statistics , Volume 16 , 2012, pp. 277 - 305
Copyright
© EDP Sciences, SMAI, 2012

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