Systems of Brownian particles with asymmetric collisions

DOI10.1214/14-AIHP646MaRDI QIDQ5963220zbMATHOpenAlexFDO

Authors Ioannis Karatzas, Soumik Pal, Mykhaylo Shkolnikov

Publication date 4 March 2016

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.0259

zbMATH Keywords

stochastic differential equationsinteracting particle systemsinvariance principlesscaling limitsjump processesstochastic portfolio theorydeterminantal processesreflected Brownian motionsSkorokhod maps

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Abstract: We study systems of Brownian particles on the real line, which interact by splitting the local times of collisions among themselves in an asymmetric manner. We prove the strong existence and uniqueness of such processes and identify them with the collections of ordered processes in a Brownian particle system, in which the drift coefficients, the diffusion coefficients, and the collision local times for the individual particles are assigned according to their ranks. These Brownian systems can be viewed as generalizations of those arising in first-order models for equity markets in the context of stochastic portfolio theory, and are able to correct for several shortcomings of such models while being equally amenable to computations. We also show that, in addition to being of interest in their own right, such systems of Brownian particles arise as universal scaling limits of systems of jump processes on the integer lattice with local interactions. A key step in the proof is the analysis of a generalization of Skorokhod maps which include `local times' at the intersection of faces of the nonnegative orthant. The result extends the convergence of TASEP to its continuous analogue. Finally, we identify those among the Brownian particle systems which have a probabilistic structure of determinantal type.

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Cited in

(24)

• Perturbed GUE minor process and Warren's process with drifts
• Infinite systems of competing Brownian particles
• Domains of attraction of invariant distributions of the infinite atlas model
• Reflected backward stochastic differential equation with rank-based data
• Attractiveness of Brownian queues in tandem
• Multidimensional sticky Brownian motions as limits of exclusion processes
• Scaling limit for Brownian motions with one-sided collisions
• Long-time behavior of finite and infinite dimensional reflected Brownian motions
• Two-sided infinite systems of competing Brownian particles
• Concentration of measure for Brownian particle systems interacting through their ranks
• Extremal invariant distributions of infinite Brownian particle systems with rank dependent drifts
• Degenerate competing three-particle systems
• Hydrodynamic limit and propagation of chaos for Brownian particles reflecting from a Newtonian barrier
• On collisions of Brownian particles
• Dynamics of finite inhomogeneous particle systems with exclusion interaction
• Dimension-free local convergence and perturbations for reflected Brownian motions
• Diverse market models of competing Brownian particles with splits and mergers
• Multiple collisions in systems of competing Brownian particles
• Long time behaviour and mean-field limit of Atlas models
• Comparison techniques for competing Brownian particles
• Two Brownian particles with rank-based characteristics and skew-elastic collisions
• On a class of diverse market models
• Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
• Backward stochastic differential equations with rank-based data

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