Continuum and thermodynamic limits for a simple random-exchange model

DOI10.1016/J.SPA.2022.03.015zbMATH Open1489.60122arXiv2003.00930OpenAlexW3006948887MaRDI QIDQ2137757FDOQ2137757

Authors: Bertram Düring, Nicos Georgiou, Enrico Scalas, Sara Merino-Aceituno 

Publication date: 16 May 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We discuss various limits of a simple random exchange model that can be used for the distribution of wealth. We start from a discrete state space - discrete time version of this model and, under suitable scaling, we show its functional convergence to a continuous space - discrete time model. Then, we show a thermodynamic limit of the empirical distribution to the solution of a kinetic equation of Boltzmann type. We solve this equation and we show that the solutions coincide with the appropriate limits of the invariant measure for the Markov chain. In this way we complete Boltzmann's program of deriving kinetic equations from random dynamics for this simple model. Three families of invariant measures for the mean field limit are discovered and we show that only two of those families can be obtained as limits of the discrete system and the third is extraneous. Finally, we cast our results in the framework of integer partitions and strengthen some results already available in the literature.

Full work available at URL: https://arxiv.org/abs/2003.00930

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zbMATH Keywords

Markov chainsmean-field limitspartitions of integerswealth distributionkinetic equationsfunctional limits

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Functional limit theorems; invariance principles (60F17) Discrete-time Markov processes on general state spaces (60J05) Boltzmann equations (35Q20) Kinetic theory of gases in equilibrium statistical mechanics (82B40) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

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Cited In (4)

• Comments on the random Thirring model
• Uniqueness of the thermodynamic limit for driven disordered elastic interfaces
• Uncovering a Two-Phase Dynamics from a Dollar Exchange Model with Bank and Debt
• Propagation of chaos: a review of models, methods and applications. II: Applications

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