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Interacting Particle Systems and Yaglom Limit Approximation of Diffusions with Unbounded Drift

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Interacting Particle Systems and Yaglom Limit Approximation of Diffusions with Unbounded Drift
2.	Creator	Author's name, affiliation, country	Denis Villemonais; École Polytechnique; France
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	diffusion process; interacting particle system; empirical process; quasi-stationary distribution; Yaglom limit
3.	Subject	Subject classification	82C22; 65C50; 60K35; 60J60;
4.	Description	Abstract	We study the existence and the exponential ergodicity of a general interacting particle system, whose components are driven by independent diffusion processes with values in an open subset of $\mathbb{R}^d$, $d\geq1$. The interaction occurs when a particle hits the boundary: it jumps to a position chosen with respect to a probability measure depending on the position of the whole system. Then we study the behavior of such a system when the number of particles goes to infinity. This leads us to an approximation method for the Yaglom limit of multi-dimensional diffusion processes with unbounded drift defined on an unbounded open set. While most of known results on such limits are obtained by spectral theory arguments and are concerned with existence and uniqueness problems, our approximation method allows us to get numerical values of quasi-stationary distributions, which find applications to many disciplines. We end the paper with numerical illustrations of our approximation method for stochastic processes related to biological population models.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2011-09-01
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/925
10.	Identifier	Digital Object Identifier	10.1214/EJP.v16-925
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 16
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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