7 papers
Universal Central Limit Theorem for non-exchangeable interacting diffusions
Mykhaylo Shkolnikov, Lane Chun Yeung
We study non-exchangeable interacting diffusions with pairwise interaction strengths encoded by a sequence of matrices. Under suitable structural and denseness conditions on these…
Quantitative propagation of chaos for non-exchangeable diffusions via first-passage percolation
Daniel Lacker, Lane Chun Yeung, Fuzhong Zhou
This paper develops a non-asymptotic approach to mean field approximations for systems of diffusive particles interacting pairwise. The interaction strengths are not identical,…
From rank-based models with common noise to pathwise entropy solutions of SPDEs
Mykhaylo Shkolnikov, Lane Chun Yeung
We study the mean field limit of a rank-based model with common noise, which arises as an extension to models for the market capitalization of firms in stochastic portfolio theory.…
A trajectorial approach to entropy dissipation for degenerate parabolic equations
Donghan Kim, Lane Chun Yeung
We consider degenerate diffusion equations of the form on a bounded domain and subject to no-flux boundary conditions, for a class of nonlinearities t…
Mean field approximations via log-concavity
Daniel Lacker, Sumit Mukherjee, Lane Chun Yeung
We propose a new approach to deriving quantitative mean field approximations for any probability measure on with density proportional to , for stro…
A trajectorial approach to relative entropy dissipation of McKeanVlasov diffusions: gradient flows and HWBI inequalities
Bertram Tschiderer, Lane Chun Yeung
We formulate a trajectorial version of the relative entropy dissipation identity for McKeanVlasov diffusions, extending the results of the papers [FJ16,KST20a], which apply to n…
A characterization of transportation-information inequalities for Markov processes in terms of dimension-free concentration
Daniel Lacker, Lane Chun Yeung
Inequalities between transportation costs and Fisher information are known to characterize certain concentration properties of Markov processes around their invariant measures. Thi…