Chaoticity of the stationary distribution of rank-based interacting diffusions

DOI10.1214/ECP.v20-4063zbMath1333.60209arXiv1408.4103MaRDI QIDQ894486

Julien Reygner

Publication date: 1 December 2015

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.4103

zbMATH Keywords

stationary distributionWasserstein distancechaoticitynonlinear diffusion processrank-based interacting diffusions

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Diffusion processes (60J60)

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Equilibrium large deviations for mean-field systems with translation invariance ⋮ Two-Sided Infinite Systems of Competing Brownian Particles ⋮ Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution ⋮ A Kac model with exclusion ⋮ Infinite systems of competing Brownian particles ⋮ Comparison techniques for competing Brownian particles ⋮ Dynamics of observables in rank-based models and performance of functionally generated portfolios ⋮ Capital distribution and portfolio performance in the mean-field Atlas model

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