Concentration of measure for Brownian particle systems interacting through their ranks. (English) Zbl 1297.82023

Summary: We consider a finite or countable collection of one-dimensional Brownian particles whose dynamics at any point in time is determined by their rank in the entire particle system. Using transportation cost inequalities for stochastic processes we provide uniform fluctuation bounds for the ordered particles, their local time of collisions and various associated statistics over intervals of time. For example, such processes, when exponentiated and rescaled, exhibit power law decay under stationarity; we derive concentration bounds for the empirical estimates of the index of the power law over large intervals of time. A key ingredient in our proofs is a novel upper bound on the Lipschitz constant of the Skorokhod map that transforms a multidimensional Brownian path to a path which is constrained not to leave the positive orthant.


82C22 Interacting particle systems in time-dependent statistical mechanics
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
91G10 Portfolio theory
60J65 Brownian motion
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