Competing particle systems evolving by interacting Lévy processes
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stochastic differential equationsHarris recurrencecapital distributionssemimartingale reflected Brownian motionsLévy processesLévy queueing networks
Processes with independent increments; Lévy processes (60G51) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Auctions, bargaining, bidding and selling, and other market models (91B26) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Abstract: We consider finite and infinite systems of particles on the real line and half-line evolving in continuous time. Hereby, the particles are driven by i.i.d. L'{e}vy processes endowed with rank-dependent drift and diffusion coefficients. In the finite systems we show that the processes of gaps in the respective particle configurations possess unique invariant distributions and prove the convergence of the gap processes to the latter in the total variation distance, assuming a bound on the jumps of the L'{e}vy processes. In the infinite case we show that the gap process of the particle system on the half-line is tight for appropriate initial conditions and same drift and diffusion coefficients for all particles. Applications of such processes include the modeling of capital distributions among the ranked participants in a financial market, the stability of certain stochastic queueing and storage networks and the study of the Sherrington--Kirkpatrick model of spin glasses.
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