English

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.

Keywords

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

R2 v1 2026-07-01T08:58:40.804Z