Competing particle systems evolving by interacting Lévy processes

DOI10.1214/10-AAP743zbMATH Open1238.60113arXiv1002.2811MaRDI QIDQ655586FDOQ655586

Authors: Mykhaylo Shkolnikov 

Publication date: 4 January 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1002.2811

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zbMATH Keywords

stochastic differential equationsHarris recurrencecapital distributionssemimartingale reflected Brownian motionsLévy processesLévy queueing networks

Mathematics Subject Classification ID

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)

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Cited In (27)

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• Concentration for multidimensional diffusions and their boundary local times
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• Modeling flocks and prices: jumping particles with an attractive interaction
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• A note on jump Atlas models
• On a class of diverse market models
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• High moments of the SHE in the clustering regimes
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• Competing super-Brownian motions as limits of interacting particle systems
• Backward stochastic differential equations with rank-based data
• Concentration of measure for Brownian particle systems interacting through their ranks
• Large systems of diffusions interacting through their ranks
• The infinite Atlas process: convergence to equilibrium

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