arXiv:1705.08140 Abstract | arXiv Analytics

arXiv:1705.08140 [math.PR]Abstract References Reviews Resources

Long time behaviour and mean-field limit of Atlas models

Published 2017-05-23Version 1

This article reviews a few basic features of systems of one-dimensional diffusions with rank-based characteristics. Such systems arise in particular in the modelling of financial markets , where they go by the name of Atlas models. We mostly describe their long time and large scale behaviour, and lay a particular emphasis on the case of mean-field interactions. We finally present an application of the reviewed results to the modelling of capital distribution in systems with a large number of agents.

Categories: math.PR

Keywords: long time behaviour, atlas models, mean-field limit, large scale behaviour, capital distribution

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