Competing particle systems evolving by interacting Lévy processes
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capital distributionsHarris recurrenceLévy processesLévy queueing networkssemimartingale reflected Brownian motionsstochastic differential equations
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Auctions, bargaining, bidding and selling, and other market models (91B26)
Abstract: We consider finite and infinite systems of particles on the real line and half-line evolving in continuous time. Hereby, the particles are driven by i.i.d. L'{e}vy processes endowed with rank-dependent drift and diffusion coefficients. In the finite systems we show that the processes of gaps in the respective particle configurations possess unique invariant distributions and prove the convergence of the gap processes to the latter in the total variation distance, assuming a bound on the jumps of the L'{e}vy processes. In the infinite case we show that the gap process of the particle system on the half-line is tight for appropriate initial conditions and same drift and diffusion coefficients for all particles. Applications of such processes include the modeling of capital distributions among the ranked participants in a financial market, the stability of certain stochastic queueing and storage networks and the study of the Sherrington--Kirkpatrick model of spin glasses.
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Cited in
(31)- Competing particle systems evolving by I.I.D. Increments
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- Comparison techniques for competing Brownian particles
- Stationary distributions of the Atlas model
- Concentration for multidimensional diffusions and their boundary local times
- Convergence rates for rank-based models with applications to portfolio theory
- Strong solutions of stochastic equations with rank-based coefficients
- A note on jump Atlas models
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- The infinite Atlas process: convergence to equilibrium
- Modeling flocks and prices: jumping particles with an attractive interaction
- Characterization of invariant measures at the leading edge for competing particle systems
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- Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
- Diverse market models of competing Brownian particles with splits and mergers
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- Extremal invariant distributions of infinite Brownian particle systems with rank dependent drifts
- High moments of the SHE in the clustering regimes
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- Two-barriers-reflected BSDE with rank-based data
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- Competing super-Brownian motions as limits of interacting particle systems
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