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Brieuc Frénais

Publications and source records attributed to Brieuc Frénais.

3 recordsLinked to original sources

The comonotone flow of a stochastically monotone Feller process on the real line

We show that any stochastically monotone Feller semigroup on R can be extended by a consistent family of order-preserving Feller semigroups on the successive powers of R. We exhibit a specific such family, which is uniquely characterized by a maximality property with respect to the super-modular order on Rn. A consequence is that, in this fairly general setting, there always exists a coupling between n c{à}dl{à}g versions of the underlying Markov process starting from n distinct initial positions, which do not cross one another.

math.PR↗

Hydrodynamic limit of N-branching Markov processes

We consider the behaviour of branching-selection particle systems in the large population limit. The dynamics of these systems is the combination of the following three components: (a) Motion: particles move on the real line according to a continuous-time Markov process; (b) Branching: at rate 1, each particle gives birth to a new particle at its current location; (c) Selection: to keep the total number of particles constant, each branching event causes the particle currently located at the lowest position in the system to be removed instantly. Starting with N $\ge$ 1 particles whose positions at time t = 0 form an i.i.d. sample with distribution $μ$ 0 , we investigate the behaviour of the system at a further time t > 0, in the limit N $\rightarrow$ +$\infty$. Our first main result is that, under suitable (but rather mild) regularity assumptions on the underlying Markov process, the empirical distribution of the population of particles at time t converges to a deterministic limit, characterized as the distribution of the Markov process at time t conditional upon not crossing a certain (deterministic) moving boundary up to time t. Our second result is that, under additional regularity assumptions, the lowest particle position at time t converges to the moving boundary. These results extend and refine previous works done by other authors, that dealt mainly with the case where particles move according to a Brownian motion. For instance, our results hold for a wide class of L{é}vy processes and diffusion processes. Moreover, we obtain improved non-asymptotic bounds on the convergence speed.

math.PR↗

Deep Learning for Mean Field Optimal Transport

Mean field control (MFC) problems have been introduced to study social optima in very large populations of strategic agents. The main idea is to consider an infinite population and to simplify the analysis by using a mean field approximation. These problems can also be viewed as optimal control problems for McKean-Vlasov dynamics. They have found applications in a wide range of fields, from economics and finance to social sciences and engineering. Usually, the goal for the agents is to minimize a total cost which consists in the integral of a running cost plus a terminal cost. In this work, we consider MFC problems in which there is no terminal cost but, instead, the terminal distribution is prescribed. We call such problems mean field optimal transport problems since they can be viewed as a generalization of classical optimal transport problems when mean field interactions occur in the dynamics or the running cost function. We propose three numerical methods based on neural networks. The first one is based on directly learning an optimal control. The second one amounts to solve a forward-backward PDE system characterizing the solution. The third one relies on a primal-dual approach. We illustrate these methods with numerical experiments conducted on two families of examples.

math.OC↗