Long time behaviour and mean-field limit of Atlas models
Probability
2017-05-24 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1705.08140,
title = {Long time behaviour and mean-field limit of Atlas models},
author = {Julien Reygner},
journal= {arXiv preprint arXiv:1705.08140},
year = {2017}
}