Stochastic ranking process with space-time dependent intensities

MaRDI QIDQ2863824zbMATH OpenFDO

Authors Tetsuya Hattori, Seiichiro Kusuoka

Publication date 4 December 2013

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1204.4767, http://alea.impa.br/articles/v9/09-23.pdf

zbMATH Keywords

hydrodynamic limitinviscid Burgers equationmove-to-front rulesPoisson processstochastic ranking process

Mathematics Subject Classification ID

Solutions to PDEs in closed form (35C05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Interacting particle systems in time-dependent statistical mechanics (82C22)

Abstract: We consider the stochastic ranking process with space-time dependent jump rates for the particles. The process is a simplified model of the time evolution of the rankings such as sales ranks at online bookstores. We prove that the joint empirical distribution of jump rate and scaled position converges almost surely to a deterministic distribution, and also the tagged particle processes converge almost surely, in the infinite particle limit. The limit distribution is characterized by a system of inviscid Burgers-like integral-partial differential equations with evaporation terms, and the limit process of a tagged particle is a motion along a characteristic curve of the differential equations except at its Poisson times of jumps to the origin.

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