Stationary gap distributions for infinite systems of competing Brownian particles

DOI10.1214/17-EJP78MaRDI QIDQ2362563zbMATH OpenOpenAlexFDO

Authors Andrey Sarantsev, Li-Cheng Tsai

Publication date 10 July 2017

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.00628, https://projecteuclid.org/euclid.ejp/1499220068

zbMATH Keywords

competing Brownian particlesgap processinfinite atlas modelstationary distribution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Abstract: Consider the infinite Atlas model: a semi-infinite collection of particles driven by independent standard Brownian motions with zero drifts, except for the bottom-ranked particle which receives unit drift. We derive a continuum one-parameter family of product-of-exponentials stationary gap distributions, with exponentially growing density at infinity. This result shows that there are infinitely many stationary gap distributions for the Atlas model, and hence resolves a conjecture of Pal and Pitman (2008) in the negative. This result is further generalized for infinite systems of competing Brownian particles with generic rank-based drifts.

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Cited in

(21)

• Competing particle systems evolving by I.I.D. Increments
• Infinite systems of competing Brownian particles
• Stationary distributions of the Atlas model
• A note on jump Atlas models
• Domains of attraction of invariant distributions of the infinite atlas model
• On the structure of quasi-stationary competing particle systems
• Dynamics of observables in rank-based models and performance of functionally generated portfolios
• The infinite Atlas process: convergence to equilibrium
• scientific article; zbMATH DE number 4128213 (Why is no real title available?)
• Two-sided infinite systems of competing Brownian particles
• Long time behaviour and mean-field limit of Atlas models
• Stationary distributions in Kolmogorov-Petrovski- Piskunov-type models with an infinite number of particles
• The inert drift atlas model
• Dimension-free local convergence and perturbations for reflected Brownian motions
• Extremal invariant distributions of infinite Brownian particle systems with rank dependent drifts
• High moments of the SHE in the clustering regimes
• Long-time behavior of finite and infinite dimensional reflected Brownian motions
• Equilibrium fluctuation of the Atlas model
• Macroscopic properties of equity markets: stylized facts and portfolio performance
• Fluctuations of the Atlas model from inhomogeneous stationary profiles
• Flocking under fast and large jumps: stability, chaos, and traveling waves

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