Self-Interacting Diffusions IV: Rate of Convergence

Michel Benaïm (Université de Neuchâtel)
Olivier Raimond (Université Paris Ouest)

Abstract


Self-interacting diffusions are processes living on a compact Riemannian manifold defined by a stochastic differential equation with a drift term depending on the past empirical measure of the process. The asymptotics of this measure is governed by a deterministic dynamical system and under certain conditions it converges almost surely towards a deterministic measure. (see Benaïm, Ledoux, Raimond (2002) and Benaïm, Raimond (2005)). We are interested here in the rate of this convergence. A central limit theorem is proved. In particular, this shows that greater is the interaction repelling faster is the convergence.

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Pages: 1815-1843

Publication Date: October 14, 2011

DOI: 10.1214/EJP.v16-948

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