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arXiv · 1705.08140

Long time behaviour and mean-field limit of Atlas models

Julien Reygner
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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.

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Julien Reygner. 2017-05-23. Long time behaviour and mean-field limit of Atlas models. https://arxiv.org/abs/1705.08140

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