Abstract
Consider a time-varying collection of n points on the positive real axis, modeled as Exponentials of n Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. If at each time point we divide the points by their sum, under suitable assumptions the rescaled point process converges to a stationary distribution (depending on n and the vector of drifts) as time goes to infinity. This stationary distribution can be exactly computed using a recent result of Pal and Pitman. The model and the rescaled point process are both central objects of study in models of equity markets introduced by Banner, Fernholz, and Karatzas. In this paper, we look at the behavior of this point process under the stationary measure as n tends to infinity. Under a certain ‘continuity at the edge’ condition on the drifts, we show that one of the following must happen: either (i) all points converge to 0, or (ii) the maximum goes to 1 and the rest go to 0, or (iii) the processes converge in law to a non-trivial Poisson–Dirichlet distribution. The underlying idea of the proof is inspired by Talagrand’s analysis of the low temperature phase of Derrida’s Random Energy Model of spin glasses. The main result establishes a universality property for the BFK models and aids in explicit asymptotic computations using known results about the Poisson–Dirichlet law.
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Sourav Chatterjee’s research is partially supported by N.S.F. grant DMS-0707054 and Soumik Pal’s research is partially supported by N.S.F. grant DMS-0306194 to the probability group at Cornell.
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Chatterjee, S., Pal, S. A phase transition behavior for Brownian motions interacting through their ranks. Probab. Theory Relat. Fields 147, 123–159 (2010). https://doi.org/10.1007/s00440-009-0203-0
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DOI: https://doi.org/10.1007/s00440-009-0203-0
Keywords
- Interacting diffusions
- Poisson–Dirichlet
- Atlas model
- Rank-dependent processes
- McKean–Vlasov
- Phase transition