Competing particle systems evolving by interacting Lévy processes

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Abstract

We consider finite and infinite systems of particles on the real line and half-line evolving in continuous time. Hereby, the particles are driven by i.i.d. Lévy processes endowed with rank-dependent drift and diffusion coefficients. In the finite systems we show that the processes of gaps in the respective particle configurations possess unique invariant distributions and prove the convergence of the gap processes to the latter in the total variation distance, assuming a bound on the jumps of the Lévy processes. In the infinite case we show that the gap process of the particle system on the half-line is tight for appropriate initial conditions and same drift and diffusion coefficients for all particles. Applications of such processes include the modeling of capital distributions among the ranked participants in a financial market, the stability of certain stochastic queueing and storage networks and the study of the Sherrington-Kirkpatrick model of spin glasses.

Original languageEnglish (US)
Pages (from-to)1911-1932
Number of pages22
JournalAnnals of Applied Probability
Volume21
Issue number5
DOIs
StatePublished - Oct 2011

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Capital distributions
  • Harris recurrence
  • Lévy processes
  • Lévy queueing networks
  • Semimartingale reflected Brownian motions
  • Stochastic differential equations

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