Equilibrium fluctuation of the Atlas model

DOI10.1214/16-AOP1171zbMATH Open1386.60281arXiv1503.03581OpenAlexW2963889696MaRDI QIDQ682273FDOQ682273

Authors: Amir Dembo, Li-Cheng Tsai 

Publication date: 14 February 2018

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

Abstract: We study the fluctuation of the Atlas model, where a unit drift is assigned to the lowest ranked particle among a semi-infinite ($mathbb{Z}_{+}$-indexed) system of otherwise independent Brownian particles, initiated according to a Poisson point process on $mathbb{R}_{+}$. In this context, we show that the joint law of ranked particles, after being centered and scaled by $t^{-1/4}$, converges as $toinfty$ to the Gaussian field corresponding to the solution of the additive stochastic heat equation on $mathbb{R}_{+}$ with Neumann boundary condition at zero. This allows us to express the asymptotic fluctuation of the lowest ranked particle in terms of a $frac14$-fractional Brownian motion. In particular, we prove a conjecture of Pal and Pitman (2008) about the asymptotic Gaussian fluctuation of the ranked particles.

Full work available at URL: https://arxiv.org/abs/1503.03581

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zbMATH Keywords

fractional Brownian motionstochastic heat equationreflected Brownian motioninteracting particlesequilibrium fluctuation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Brownian motion (60J65) Interacting particle systems in time-dependent statistical mechanics (82C22)

Cited In (19)

• Edwards-Wilkinson fluctuations in the Howitt-Warren flows
• SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
• Comparison techniques for competing Brownian particles
• The inert drift atlas model
• Stationary distributions of the Atlas model
• Rank dependent branching-selection particle systems
• Dimension-free local convergence and perturbations for reflected Brownian motions
• Information geometry in portfolio theory
• Domains of attraction of invariant distributions of the infinite atlas model
• A note on jump Atlas models
• Optimal surviving strategy for drifted Brownian motions with absorption
• Zipf's law for Atlas models
• A note on transportation cost inequalities for diffusions with reflections
• High moments of the SHE in the clustering regimes
• Permutation-weighted portfolios and the efficiency of commodity futures markets
• Dynamics of observables in rank-based models and performance of functionally generated portfolios
• Long time behaviour and mean-field limit of Atlas models
• Equilibrium fluctuations for a discrete Atlas model
• The infinite Atlas process: convergence to equilibrium

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