Large systems of diffusions interacting through their ranks (Q424497): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(5 intermediate revisions by 4 users not shown)
Property / review text
 
The author studies the behavior of the weak solutions to the system of stochastic differential equations \[ \mathrm{d} X_i(t) = \mu(F_{\gamma^N(t)}(X_i(t)))\,\mathrm{d} t + \sigma(F_{\gamma^N(t)}(X_i(t))) \,\mathrm{d} B_i(t), \qquad i=1,\dotsc,N, \] on an interval \([0,T]\) as \(N\to\infty\), where \(\gamma^N(t):=\frac{1}{N}\sum_{i=1}^N \delta_{X_i(t)}\) is the empirical measure of the particle system \(X_1(t),\dotsc,X_N(t)\) at time \(t\), \(F_{\gamma^N(t)}\) is its cumulative distribution function, \(\mu\) and \(\sigma\) are measurable functions on \([0,1]\) taking values in \(\mathbb{R}\) and \((0,\infty)\), respectively, and \(B_1,\dotsc, B_N\) are independent standard Brownian motions. Informally, at any time \(t\) the drift and the diffusion coefficients of a fixed particle \(i\) are determined by its rank in the particle configuration \(X_1(t),\dotsc,X_N(t)\) at time \(t\), so, whenever a particle changes its rank, the coefficients change accordingly. Existence and uniqueness of a weak solution to this system for any fixed natural number \(N\) are essentially due to \textit{R. F. Bass} and \textit{E. Pardoux} [Probab. Theory Relat. Fields 76, 557--572 (1987; Zbl 0617.60075)]. Considering the above equation as an equation for the evolution of the empirical measure \(\gamma^N(t)\) of the particle system on \([0,T]\), the author proves that, under suitable assumptions on \(\mu\) and \(\sigma\), and the stationarity assumption on the initial vector of spacings between the particles, the limiting evolution is governed by a McKlean-Vlasov evolution equation. Moreover, it was shown that, under the same assumptions, the cumulative distribution function of the system evolves according the generalized porous medium equation with convention. Possible applications of the results for rank-based models of capital distributions in financial markets are also explained.
Property / review text: The author studies the behavior of the weak solutions to the system of stochastic differential equations \[ \mathrm{d} X_i(t) = \mu(F_{\gamma^N(t)}(X_i(t)))\,\mathrm{d} t + \sigma(F_{\gamma^N(t)}(X_i(t))) \,\mathrm{d} B_i(t), \qquad i=1,\dotsc,N, \] on an interval \([0,T]\) as \(N\to\infty\), where \(\gamma^N(t):=\frac{1}{N}\sum_{i=1}^N \delta_{X_i(t)}\) is the empirical measure of the particle system \(X_1(t),\dotsc,X_N(t)\) at time \(t\), \(F_{\gamma^N(t)}\) is its cumulative distribution function, \(\mu\) and \(\sigma\) are measurable functions on \([0,1]\) taking values in \(\mathbb{R}\) and \((0,\infty)\), respectively, and \(B_1,\dotsc, B_N\) are independent standard Brownian motions. Informally, at any time \(t\) the drift and the diffusion coefficients of a fixed particle \(i\) are determined by its rank in the particle configuration \(X_1(t),\dotsc,X_N(t)\) at time \(t\), so, whenever a particle changes its rank, the coefficients change accordingly. Existence and uniqueness of a weak solution to this system for any fixed natural number \(N\) are essentially due to \textit{R. F. Bass} and \textit{E. Pardoux} [Probab. Theory Relat. Fields 76, 557--572 (1987; Zbl 0617.60075)]. Considering the above equation as an equation for the evolution of the empirical measure \(\gamma^N(t)\) of the particle system on \([0,T]\), the author proves that, under suitable assumptions on \(\mu\) and \(\sigma\), and the stationarity assumption on the initial vector of spacings between the particles, the limiting evolution is governed by a McKlean-Vlasov evolution equation. Moreover, it was shown that, under the same assumptions, the cumulative distribution function of the system evolves according the generalized porous medium equation with convention. Possible applications of the results for rank-based models of capital distributions in financial markets are also explained. / rank
 
Normal rank
Property / reviewed by
 
Property / reviewed by: Mátyás Barczy / rank
 
Normal rank
Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 60J60 / rank
 
Normal rank
Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 60K35 / rank
 
Normal rank
Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 65C30 / rank
 
Normal rank
Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 82C22 / rank
 
Normal rank
Property / zbMATH DE Number
 
Property / zbMATH DE Number: 6040301 / rank
 
Normal rank
Property / zbMATH Keywords
 
diffusion process
Property / zbMATH Keywords: diffusion process / rank
 
Normal rank
Property / zbMATH Keywords
 
McKlean-Vlasov equation
Property / zbMATH Keywords: McKlean-Vlasov equation / rank
 
Normal rank
Property / zbMATH Keywords
 
porous medium equation
Property / zbMATH Keywords: porous medium equation / rank
 
Normal rank
Property / zbMATH Keywords
 
particle method
Property / zbMATH Keywords: particle method / rank
 
Normal rank
Property / zbMATH Keywords
 
rank-based market model
Property / zbMATH Keywords: rank-based market model / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2083051656 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1008.4611 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the structure of quasi-stationary competing particle systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Uniqueness for diffusions with piecewise constant coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Atlas models of equity markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence rate for the approximation of the limit law of weakly interacting particles: Application to the Burgers equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic particle method for the McKean-Vlasov and the Burgers equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A phase transition behavior for Brownian motions interacting through their ranks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large Deviations for Diffusions Interacting Through Their Ranks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Uniform Central Limit Theorems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probability / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4531968 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the McKean-Vlasov Limit for Interacting Diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3480542 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3806523 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Brownian models of multiclass queueing networks: Current status and open problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence rates for rank-based models with applications to portfolio theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hybrid Atlas models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusion processes associated with nonlinear evolution equations for signed measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5562267 / rank
 
Normal rank
Property / cites work
 
Property / cites work: One-dimensional Brownian particle systems with rank-dependent drifts / rank
 
Normal rank
Property / cites work
 
Property / cites work: Characterization of invariant measures at the leading edge for competing particle systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Competing particle systems evolving by I.I.D. Increments / rank
 
Normal rank
Property / cites work
 
Property / cites work: Competing particle systems evolving by interacting Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3862204 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3409342 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4842997 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 06:39, 5 July 2024

scientific article
Language Label Description Also known as
English
Large systems of diffusions interacting through their ranks
scientific article

    Statements

    Large systems of diffusions interacting through their ranks (English)
    0 references
    1 June 2012
    0 references
    The author studies the behavior of the weak solutions to the system of stochastic differential equations \[ \mathrm{d} X_i(t) = \mu(F_{\gamma^N(t)}(X_i(t)))\,\mathrm{d} t + \sigma(F_{\gamma^N(t)}(X_i(t))) \,\mathrm{d} B_i(t), \qquad i=1,\dotsc,N, \] on an interval \([0,T]\) as \(N\to\infty\), where \(\gamma^N(t):=\frac{1}{N}\sum_{i=1}^N \delta_{X_i(t)}\) is the empirical measure of the particle system \(X_1(t),\dotsc,X_N(t)\) at time \(t\), \(F_{\gamma^N(t)}\) is its cumulative distribution function, \(\mu\) and \(\sigma\) are measurable functions on \([0,1]\) taking values in \(\mathbb{R}\) and \((0,\infty)\), respectively, and \(B_1,\dotsc, B_N\) are independent standard Brownian motions. Informally, at any time \(t\) the drift and the diffusion coefficients of a fixed particle \(i\) are determined by its rank in the particle configuration \(X_1(t),\dotsc,X_N(t)\) at time \(t\), so, whenever a particle changes its rank, the coefficients change accordingly. Existence and uniqueness of a weak solution to this system for any fixed natural number \(N\) are essentially due to \textit{R. F. Bass} and \textit{E. Pardoux} [Probab. Theory Relat. Fields 76, 557--572 (1987; Zbl 0617.60075)]. Considering the above equation as an equation for the evolution of the empirical measure \(\gamma^N(t)\) of the particle system on \([0,T]\), the author proves that, under suitable assumptions on \(\mu\) and \(\sigma\), and the stationarity assumption on the initial vector of spacings between the particles, the limiting evolution is governed by a McKlean-Vlasov evolution equation. Moreover, it was shown that, under the same assumptions, the cumulative distribution function of the system evolves according the generalized porous medium equation with convention. Possible applications of the results for rank-based models of capital distributions in financial markets are also explained.
    0 references
    diffusion process
    0 references
    McKlean-Vlasov equation
    0 references
    porous medium equation
    0 references
    particle method
    0 references
    rank-based market model
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references