Well-posedness of state-dependent rank-based interacting systems
Probability
2026-01-13 v1
Abstract
We study the existence and uniqueness of rank-based interacting systems of stochastic differential equations. These systems can be seen as modifications with state-dependent coefficients of the Atlas model in mathematical finance. The coefficients of the underlying SDEs are possibly discontinuous. We first establish strong well-posedness for a planar system with rank-dependent drift coefficients, and non-rank-dependent and non-uniformly elliptic diffusion coefficients. We then state weak well-posedness for two classes of high-dimensional rank-based interacting SDEs with elliptic diffusion coefficients. Finally, we address the positivity of solutions in the case where the diffusion coefficients vanish at zero.
Cite
@article{arxiv.2601.06383,
title = {Well-posedness of state-dependent rank-based interacting systems},
author = {Hélène Guérin and Nathalie Krell},
journal= {arXiv preprint arXiv:2601.06383},
year = {2026}
}
Comments
21 pages, 2 figures