Optimal surviving strategy for drifted Brownian motions with absorption

DOI10.1214/17-AOP1211MaRDI QIDQ1647737zbMATH OpenOpenAlexWikidataFDO

Authors Wenpin Tang, Li-Cheng Tsai

Publication date 26 June 2018

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.04493, https://projecteuclid.org/euclid.aop/1523520025

zbMATH Keywords

moving boundaryhydrodynamic limitcompeting Brownian particlesStefan problemsatlas model

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Interacting particle systems in time-dependent statistical mechanics (82C22) PDEs in connection with mechanics of particles and systems of particles (35Q70)

Abstract: We study the 'Up the River' problem formulated by Aldous (2002), where a unit drift is distributed among a finite collection of Brownian particles on $mathbb{R}_{+}$, which are annihilated once they reach the origin. Starting $K$ particles at $x=1$, we prove a conjecture of Aldous (2002) that the 'push-the-laggard' strategy of distributing the drift asymptotically (as $Koinfty$) maximizes the total number of surviving particles, with approximately $frac4sqrtpi{K}^{1/2}$ surviving particles. We further establish the hydrodynamic limit of the particle density, in terms of a two-phase PDE with a moving boundary, by utilizing certain integral identities and coupling techniques.

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Cited in

(9)

• Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws
• Stationary distributions of the Atlas model
• Domains of attraction of invariant distributions of the infinite atlas model
• Extremal invariant distributions of infinite Brownian particle systems with rank dependent drifts
• A tale of two (and more) altruists
• Exponential ergodicity and convergence for generalized reflected Brownian motion
• Dynamics of observables in rank-based models and performance of functionally generated portfolios
• Long-time behavior of finite and infinite dimensional reflected Brownian motions
• A Ruin Problem for a Two-Dimensional Brownian Motion with Controllable Drift in the Positive Quadrant

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