The Fleming-Viot process with McKean-Vlasov dynamics

被引:0
|
作者
Tough, Oliver [1 ]
Nolen, James [1 ]
机构
[1] Duke Univ, Durham, NC 27706 USA
来源
ELECTRONIC JOURNAL OF PROBABILITY | 2022年 / 27卷
基金
美国国家科学基金会;
关键词
McKean-Vlasov processes; quasi-stationary distributions; Fleming-Viot processes; QUASI-STATIONARY DISTRIBUTIONS; BROWNIAN-MOTION; APPROXIMATION; CONVERGENCE; LIMIT;
D O I
10.1214/22-EJP820
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
The Fleming-Viot particle system consists of N identical particles diffusing in an open domain D subset of R-d. Whenever a particle hits the boundary partial derivative D, that particle jumps onto another particle in the interior. It is known that this system provides a particle representation for both the Quasi-Stationary Distribution (QSD) and the distribution conditioned on survival for a given diffusion killed at the boundary of its domain. We extend these results to the case of McKean-Vlasov dynamics. We prove that the law conditioned on survival of a given McKean-Vlasov process killed on the boundary of its domain may be obtained from the hydrodynamic limit of the corresponding Fleming-Viot particle system. We then show that if the target killed McKean-Vlasov process converges to a QSD as t ->infinity, such a QSD may be obtained from the stationary distributions of the corresponding N -particle Fleming-Viot system as N -> infinity.
引用
收藏
页码:1 / 72
页数:72
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