Chaoticity of the stationary distribution of rank-based interacting diffusions

DOI10.1214/ECP.V20-4063MaRDI QIDQ894486zbMATH OpenFDO

Authors 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

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)

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.

Recommendations

• Large systems of diffusions interacting through their ranks
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Cited in

(14)

• 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
• SPDE limit of the global fluctuations in rank-based models
• The small noise limit of order-based diffusion processes
• Capital distribution and portfolio performance in the mean-field Atlas model
• Infinite systems of competing Brownian particles
• Dynamics of observables in rank-based models and performance of functionally generated portfolios
• Convergence rates for rank-based models with applications to portfolio theory
• A Kac model with exclusion
• Long time behaviour and mean-field limit of Atlas models
• A phase transition behavior for Brownian motions interacting through their ranks
• Large systems of diffusions interacting through their ranks
• Two-sided infinite systems of competing Brownian particles

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