Equilibrium fluctuation of the Atlas model

DOI10.1214/16-AOP1171MaRDI QIDQ682273zbMATH OpenOpenAlexFDO

Authors Amir Dembo, Li-Cheng Tsai

Publication date 14 February 2018

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

Full work available at URL https://arxiv.org/abs/1503.03581, https://projecteuclid.org/euclid.aop/1513069266

zbMATH Keywords

equilibrium fluctuationfractional Brownian motioninteracting particlesreflected Brownian motionstochastic heat equation

Mathematics Subject Classification ID

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

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.

Review text

The authors summarize the contents of this paper in the abstract of the paper as follows: ``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 \(t-14\), converges as \(t\to\infty\) to the Gaussian field corresponding to the solution of the Additive Stochastic Heat Equation (ASHE) on \(\mathbb R+\) with the Neumann boundary condition at zero. This allows us to express the asymptotic fluctuation of the lowest ranked particle in terms of a fractional Brownian Motion (fBM). In particular, we prove a conjecture of \textit{S. Pal} and \textit{J. Pitman} [Ann. Appl. Probab. 18, No. 6, 2179--2207 (2008; Zbl 1166.60061)] about the asymptotic Gaussian fluctuation of the ranked particles.

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Cited in

(21)

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

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