Systems of Brownian particles with asymmetric collisions

DOI10.1214/14-AIHP646MaRDI QIDQ5963220zbMATH OpenOpenAlexFDO

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

determinantal processesinteracting particle systemsinvariance principlesjump processesreflected Brownian motionsscaling limitsSkorokhod mapsstochastic differential equationsstochastic portfolio theory

Mathematics Subject Classification ID

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

(26)

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

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