Diffusion approximations for interacting stochastic systems with reflection and control
具有反射和控制的交互随机系统的扩散近似
Thoa Thieu, Roderick Melnik
AI总结 研究一类具有反射和控制的交互随机系统的扩散近似,通过扩散缩放建立到Ornstein-Uhlenbeck型反射随机微分方程组的分布收敛,并用数值例子展示在人群动力学和神经群体动力学中的应用。
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- 21 pages, 2 figures
我们研究一类具有反射和控制的交互随机系统的扩散近似。受反馈机制和边界约束的交互随机动力学启发,我们考虑包含随机波动、状态依赖相互作用和反射的扩散缩放随机过程。在适当假设下,我们建立了缩放过程到Ornstein-Uhlenbeck型交互反射随机微分方程组的分布收敛。极限动力学捕捉了受约束多智能体系统的关键特征,包括均值回复行为、相互作用效应以及通过Skorokhod反射将系统限制在有界域内。分析结合了扩散缩放论证、稳定性估计和Skorokhod映射的连续性性质,以连接离散随机系统及其反射扩散极限。为说明该框架,我们给出了受人群动力学和神经群体动力学启发的数值示例。模拟显示了有限随机系统与相应反射扩散模型之间的定性一致性,并说明了扩散近似如何为具有约束的交互随机系统提供易于处理的描述。
We study diffusion approximations for a class of interacting stochastic systems with reflection and control. Motivated by interacting stochastic dynamics subject to feedback mechanisms and boundary constraints, we consider diffusion-scaled stochastic processes incorporating stochastic fluctuations, state-dependent interactions, and reflection. Under suitable assumptions, we establish convergence in distribution of the scaled processes to systems of interacting reflected stochastic differential equations of Ornstein-Uhlenbeck type. The limiting dynamics capture key features of constrained multi-agent systems, including mean-reverting behavior, interaction effects, and confinement within bounded domains through Skorokhod reflection. The analysis combines diffusion-scaling arguments, stability estimates, and continuity properties of the Skorokhod map to connect discrete stochastic systems with their reflected diffusion limits. To illustrate the framework, we present numerical examples motivated by crowd dynamics and neural population dynamics. The simulations demonstrate qualitative agreement between the finite stochastic systems and the corresponding reflected diffusion models and illustrate how diffusion approximations can provide tractable descriptions of interacting stochastic systems with constraints.