From interacting agents to Boltzmann-Gibbs distribution of money

arXiv2208.05629MaRDI QIDQ6407570FDOQ6407570

Publication date: 10 August 2022

Abstract: We investigate the unbiased model for money exchanges: agents give at random time a dollar to one another (if they have one). Surprisingly, this dynamics eventually leads to a geometric distribution of wealth (shown empirically by Dragulescu and Yakovenko in [11] and rigorously in [2,12,15,18]). We prove a uniform-in-time propagation of chaos result as the number of agents goes to infinity, which links the stochastic dynamics to a deterministic infinite system of ordinary differential equations. This deterministic description is then analyzed by taking advantage of several entropy-entropy dissipation inequalities and we provide a quantitative almost-exponential rate of convergence toward the equilibrium (geometric distribution) in relative entropy.

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Differential inequalities involving functions of a single real variable (34A40)

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