Mean-field limit of generalized Hawkes processes

We generalize multivariate Hawkes processes mainly by including a dependence with respect to the age of the process, i.e. the delay since the last point.Within this class, we investigate the limit behaviour, when $n$ goes to infinity, of a system of $n$ mean-field interacting age-dependent Hawkes processes. We prove that such a system can be approximated by independent and identically distributed age dependent point processes interacting with their own mean intensity. This result generalizes the study performed by Delattre et al. (2016).In continuity with Chevallier et al. (2015), the second goal of this paper is to give a proper link between these generalized Hawkes processes as microscopic models of individual neurons and the age-structured system of partial differential equations introduced by Pakdaman et al. (2010) as macroscopic model of neurons.     

Large deviations from the hydrodynamical limit for a system of independent brownian particles

A large deviation principle for the hydrodynamical limit of independent Brownian motion is proved and an explicit expression of the rate function is given.     

Hydrodynamic limit for the velocity-flip model

We study the diffusive scaling limit for a chain of N$N$ coupled oscillators. In order to provide the system with good ergodic properties, we perturb the Hamiltonian dynamics with random flips of velocities, so that the energy is locally conserved. We derive the hydrodynamic equations by estimating the relative entropy with respect to the local equilibrium state, modified by a correction term.     

On the Chern-Simons limit for a Maxwell-Chern-Simons model on bounded domains

This paper concerns the Chern-Simons limit for the Abelian Maxwell-Chern-Simons model on bounded domains with vanishing gauge fields. We prove that every sequence of solutions of the Maxwell-Chern-Simons equations has a subsequence converging to a solution of the Chern-Simons equation in any Ck norms. We also show that the Maxwell-Chern-Simons equations with the nontopological type boundary condition do not admit any nontrivial solutions on star-shaped domains.     

The dynamics of critical fluctuations in asymmetric Curie–Weiss models

We study the dynamics of fluctuations at the critical point for two time-asymmetric version of the Curie–Weiss model for spin systems that, in the macroscopic limit, undergo a Hopf bifurcation. The fluctuations around the macroscopic limit reflect the type of bifurcation, as they exhibit observables whose fluctuations evolve at different time scales. The limiting dynamics of fluctuations of slow observable is obtained via an averaging principle.     

Spectral gap estimates for interacting particle systems via a Bochner-type identity

We develop a general technique, based on a Bochner-type identity, to estimate spectral gaps of a class of Markov operator. We apply this technique to various interacting particle systems. In particular, we give a simple and short proof of the diffusive scaling of the spectral gap of the Kawasaki model at high temperature. Similar results are derived for Kawasaki-type dynamics in the lattice without exclusion, and in the continuum. New estimates for Glauber-type dynamics are also obtained.     

Fluctuation analysis for the loss from default

We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the loss distribution. Numerical results illustrate the accuracy and computational efficiency of the approximation.     

Some limit analysis in a one-dimensional stationary quantum hydrodynamic model for semiconductors

In this paper, we study the steady-state hydrodynamic equations for isothermal states including the quantum Bohn potential. The one-dimensional equations for the electron current density and the particle density are coupled self-consistently to the Poisson equation for the electric potential. The quantum correction can be interpreted as a dispersive regularization of the classical hydrodynamic equations. In a bounded interval supplemented by the proper boundary conditions, we investigate the zero-electron-mass limit, the zero-relaxation-time limit, the Debye-length (quasi-neutral) limit, and some combined limits, respectively. For each limit, we show the strong convergence of the sequence of solutions and give the associated convergence rate.     

Large deviation approach to non equilibrium processes in stochastic lattice gases

We present a review of recent work on the statistical mechanics of non equilibrium processes based on the analysis of large deviations properties of microscopic systems. Stochastic lattice gases are non trivial models of such phenomena and can be studied rigorously providing a source of challenging mathematical problems. In this way, some principles of wide validity have been obtained leading to interesting physical consequences.     

Percolation and limit theory for the poisson lilypond model

The lilypond model on a point process in d ‐space is a growth‐maximal system of non‐overlapping balls centred at the points. We establish central limit theorems for the total volume and the number of components of the lilypond model on a sequence of Poisson or binomial point processes on expanding windows. For the lilypond model over a homogeneous Poisson process, we give subexponentially decaying tail bounds for the size of the cluster at the origin. Finally, we consider the enhanced Poisson lilypond model where all the balls are enlarged by a fixed amount (the enhancement parameter), and show that for d > 1 the critical value of this parameter, above which the enhanced model percolates, is strictly positive. © 2012 Wiley Periodicals, Inc. Random Struct. Alg., 2012     

A central limit theorem for mixing stationary point processes

Suppose A₀ is a strictly stationary, second order point process on Z^d that is ?-mixing. The particles initially present are then continually subjected to random translations via random walks. If A_n is the point process resulting at time n, then we prove, under certain technical conditions, that the total occupation time by time n of a finite nonempty subset B of Z^d, namely, S_n(B)=Σⁿ_k=1A_k(B), is asymptotically normally distributed.     

Fluid-dynamic limit for the Ruijgrok-Wu model of the Boltzmann equation

In this paper we consider the fluid-dynamic limit for the Ruijgrok-Wu model derived from the Boltzmann equation. We use new technique developed in [S. Hwang, A.E. Tzavaras, Kinetic decomposition of approximate solutions to conservation laws: Applications to relaxation and diffusion-dispersion approximations, Comm. Partial Differential Equations 27 (2002) 1229-1254] in order to get the convergence. First, we obtain the approximate transport equation for the given kinetic model. Then using the averaging lemma, we obtain the convergence. This paper shows how to relate the given kinetic model with the averaging lemma to get the convergence.     

The central limit theorem for stochastic processes II

The main result is that the necessary and sufficient conditions for the central limit theorem for centered, second-order processes given by Giné and Zinn⁽⁶⁾ can be obtained without any basic measurability condition. Furthermore we extend some of their results.     

Quasineutral limit of the viscous quantum hydrodynamic model for semiconductors

The quasineutral limit (zero-Debye-length limit) of viscous quantum hydrodynamic model for semiconductors is studied in this paper. By introducing new modulated energy functional and using refined energy analysis, it is shown that, for well-prepared initial data, the smooth solution of viscous quantum hydrodynamic model converges to the strong solution of incompressible Navier-Stokes equations as the Debye length goes to zero.     

Existence of equilibrium for infinite system of interacting diffusions

We develop and implement new probabilistic strategy for proving basic results about long-time behavior for interacting diffusion processes on unbounded lattice. The concept of the solution used is rather weak as we construct the process as a solution to suitable infinite-dimensional martingale problem. However, the techniques allow us to consider cases where the generator of the particle is degenerate elliptic operator. As a model example, we present the situation where the operator arises from Heisenberg group. In the last section, we provide further examples that can be handled using our methods.     

A stochastic particle method for the McKean-Vlasov and the Burgers equation

In this paper we introduce and analyze a stochastic particle method for the McKean-Vlasov and the Burgers equation; the construction and error analysis are based upon the theory of the propagation of chaos for interacting particle systems. Our objective is three-fold. First, we consider a McKean-Vlasov equation in with sufficiently smooth kernels, and the PDEs giving the distribution function and the density of the measure , the solution to the McKean-Vlasov equation. The simulation of the stochastic system with particles provides a discrete measure which approximates for each time (where is a discretization step of the time interval ). An integration (resp. smoothing) of this discrete measure provides approximations of the distribution function (resp. density) of . We show that the convergence rate is for the approximation in of the cumulative distribution function at time , and of order for the approximation in of the density at time ( is the underlying probability space, is a smoothing parameter). Our second objective is to show that our particle method can be modified to solve the Burgers equation with a nonmonotonic initial condition, without modifying the convergence rate . This part extends earlier work of ours, where we have limited ourselves to monotonic initial conditions. Finally, we present numerical experiments which confirm our theoretical estimates and illustrate the numerical efficiency of the method when the viscosity coefficient is very small.