One-dimensional Brownian particle systems with rank-dependent drifts

One-dimensional Brownian particle systems with rank-dependent drifts

Soumik Pal and Jim Pitman

Source: Ann. Appl. Probab. Volume 18, Number 6 (2008), 2179-2207.

Abstract

We study interacting systems of linear Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. Our main objective has been to study the long-range behavior of the spacings between the Brownian motions arranged in increasing order. For finitely many Brownian motions interacting in this manner, we characterize drifts for which the family of laws of the vector of spacings is tight and show its convergence to a unique stationary joint distribution given by independent exponential distributions with varying means. We also study one particular countably infinite system, where only the minimum Brownian particle gets a constant upward drift, and prove that independent and identically distributed exponential spacings remain stationary under the dynamics of such a process. Some related conjectures in this direction are also discussed.

Primary Subjects: 60G07, 60G55

Keywords: Interacting diffusions; atlas model; elastic collision; Harris model

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Permanent link to this document: http://projecteuclid.org/euclid.aoap/1227708916
Digital Object Identifier: doi:10.1214/08-AAP516
Mathematical Reviews number (MathSciNet): MR2473654
Zentralblatt MATH identifier: 05490746

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