Probability, finance and signal: conference in honour of René Carmona / Probabilités, finance et signal: conférence en l'honneur de René Carmona

Collection Probability, finance and signal: conference in honour of René Carmona / Probabilités, finance et signal: conférence en l'honneur de René Carmona

Organisateur(s) Acciaio, Beatrice ; Crepey, Stephane ; Delarue, Franзois ; Lacker, Daniel ; Oudjane, Nadia

Date(s) 19/05/2025 - 23/05/2025

URL associée https://conferences.cirm-math.fr/3238.html

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Sharp quantitative propagation of chaos

The propagation of chaos phenomenon states roughly that a large system of weakly interacting particles will remain approximately independent for all times if initialized as such. This can be quantified in terms of the distance between low-dimensional marginal distributions and suitably chosen product measures. This talk will discuss some recent sharp quantitative results of this nature, both for classical mean field diffusions and for more recently studied non-exchangeable models. These results are driven by a new "local" relative entropy method, in which low-dimensional marginals are estimated iteratively by adding one coordinate at a time, leading to surprising improvements on prior results obtained by "global" arguments such as subadditivity inequalities. In the non-exchangeable setting, we exploit a surprising connection with first-passage percolation.

Informations sur la vidéo

Date de captation 20/05/2025
Date de publication 04/06/2025
Institut CIRM
Licence CC BY NC ND
Langue Anglais
Audience Chercheurs, Doctorants
Réalisateur(s) Luca Recanzone
Format MP4

Données de citation

DOI 10.24350/CIRM.V.20348203
Citer cette vidéo Lacker, Daniel (20/05/2025). Sharp quantitative propagation of chaos. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.20348203
URL https://dx.doi.org/10.24350/CIRM.V.20348203

Domaine(s)

Probabilités

Bibliographie

LACKER, Daniel, YEUNG, Lane Chun, et ZHOU, Fuzhong. Quantitative propagation of chaos for non-exchangeable diffusions via first-passage percolation. arXiv preprint arXiv:2409.08882, 2024. - https://doi.org/10.48550/arXiv.2409.08882