One-dimensional Brownian particle systems with rank-dependent drifts

DOI10.1214/08-AAP516zbMATH Open1166.60061arXiv0704.0957OpenAlexW2072145663MaRDI QIDQ2378629FDOQ2378629

Jim Pitman, Soumik Pal

Publication date: 13 January 2009

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

Abstract: We study interacting systems of linear Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. Our main objective has been to study the long range behavior of the spacings between the Brownian motions arranged in increasing order. For finitely many Brownian motions interacting in this manner, we characterize drifts for which the family of laws of the vector of spacings is tight, and show its convergence to a unique stationary joint distribution given by independent exponential distributions with varying means. We also study one particular countably infinite system, where only the minimum Brownian particle gets a constant upward drift, and prove that independent and identically distributed exponential spacings remain stationary under the dynamics of such a process. Some related conjectures in this direction have also been discussed.

Full work available at URL: https://arxiv.org/abs/0704.0957

zbMATH Keywords

Atlas modelelastic diffusionHarris modelInteracting diffusions

Mathematics Subject Classification ID

Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (57)

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