Chaoticity of the stationary distribution of rank-based interacting diffusions

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.
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Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2015, 20 (60), pp.1-20. <10.1214/ECP.v20-4063>
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Dernière modification le : jeudi 27 avril 2017 - 09:46:36
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Julien Reygner. Chaoticity of the stationary distribution of rank-based interacting diffusions. Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2015, 20 (60), pp.1-20. <10.1214/ECP.v20-4063>. <hal-01056364v2>

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