Mathematics – Probability
Scientific paper
2010-02-15
Annals of Applied Probability 2011, Vol. 21, No. 5, 1911-1932
Mathematics
Probability
Published in at http://dx.doi.org/10.1214/10-AAP743 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst
Scientific paper
10.1214/10-AAP743
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. L\'{e}vy 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 L\'{e}vy 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.
Shkolnikov Mykhaylo
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