Strong solutions of stochastic equations with rank-based coefficients
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Publication:1955833
DOI10.1007/S00440-012-0426-3zbMATH Open1302.60092arXiv1109.3823OpenAlexW2022770888MaRDI QIDQ1955833FDOQ1955833
Authors: Tomoyuki Ichiba, Mykhaylo Shkolnikov, Ioannis Karatzas 
Publication date: 19 June 2013
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
Abstract: We study finite and countably infinite systems of stochastic differential equations, in which the drift and diffusion coefficients of each component (particle) are determined by its rank in the vector of all components of the solution. We show that strong existence and uniqueness hold until the first time three particles collide. Motivated by this result, we improve significantly the existing conditions for the absence of such triple collisions in the case of finite-dimensional systems, and provide the first condition of this type for systems with a countable infinity of particles.
Full work available at URL: https://arxiv.org/abs/1109.3823
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