Chaoticity of the stationary distribution of rank-based interacting diffusions

DOI10.1214/ECP.V20-4063zbMATH Open1333.60209arXiv1408.4103MaRDI QIDQ894486FDOQ894486

Julien Reygner

Publication date: 1 December 2015

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

Abstract: The mean-field limit of systems of rank-based interacting diffusions is known to be described by a nonlinear diffusion process. We obtain a similar description at the level of stationary distributions. Our proof is based on explicit expressions for the Laplace transforms of these stationary distributions and yields convergence of the marginal distributions in Wasserstein distances of all orders. We highlight the consequences of this result on the study of rank-based models of equity markets, such as the Atlas model.

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

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zbMATH Keywords

Wasserstein distancestationary distributionchaoticitynonlinear diffusion processrank-based interacting diffusions

Mathematics Subject Classification ID

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

Cited In (8)

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

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