Non-uniqueness of stationary measures for self-stabilizing processes
We investigate the existence of invariant measures for self-stabilizing diffusions. These stochastic processes represent roughly the behavior of some Brownian particle moving in a double-well landscape and attracted by its own law. This specific self-interaction leads to nonlinear stochastic differential equations and permits pointing out singular phenomena like non-uniqueness of associated stationary measures. The existence of several invariant measures is essentially based on the non-convex environment and requires generalized Laplace's method approximations.
Year of publication: |
2010
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Authors: | Herrmann, S. ; Tugaut, J. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 7, p. 1215-1246
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Publisher: |
Elsevier |
Keywords: | Self-interacting diffusion Stationary measures Double-well potential Perturbed dynamical system Laplace's method Fixed point theorem McKean-Vlasov stochastic differential equations |
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