Duality and stationary distributions of the ``immediate exchange model and its generalizations

DOI10.1007/S10955-016-1478-ZMaRDI QIDQ288200zbMATHOpenAlexWikidataFDO

Authors Bart van Ginkel, F. Redig, Federico Sau

Publication date 25 May 2016

Published in Journal of Statistical Physics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1508.04918

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

Abstract: We prove that the "Immediate Exchange Model" of econophysics has a discrete dual, where the duality functions are those connecting the Brownian Energy Process and the Symmetric Inclusion Process. As a consequence, we recover invariance of products of Gamma distributions with shape parameter 2, and obtain ergodicity results. Next we show similar properties of a generalized model, where the exchange fraction is $Beta(s,t)$ distributed (instead of uniform), and product measures with $mboxGamma(s+t)$ marginals are invariant. We prove that the discrete dual has the self-duality property, and prove full SU(1,1) for both the continuous and discrete model.

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Cites work

• scientific article; zbMATH DE number 3892344 (Why is no real title available?)
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• Dualities in population genetics: a fresh look with new dualities
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• Duality and stationary distributions of wealth distribution models
• Duality for stochastic models of transport
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Cited in

(8)

• Spectral gap of the symmetric inclusion process
• Duality and stationary distributions of wealth distribution models
• The immediate exchange model: an analytical investigation
• Heat conduction and the nonequilibrium stationary states of stochastic energy exchange processes
• Generalized immediate exchange models and their symmetries
• Totally asymmetric limit for models of heat conduction
• Duality in an asset exchange model for wealth distribution
• Integrable heat conduction model

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