Geodesic
Long time behaviour and mean-field limit of Atlas models
Julien Reygner1
1 Université Paris-Est, CERMICS (ENPC), F-77455 Marne-la-Vallée
ESAIM. Proceedings, Tome 60 (2017), pp. 132-143 Cet article a éte moissonné depuis la source EDP Sciences

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This article reviews a few basic features of systems of one-dimensional diffusions with rankbased 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.
DOI : 10.1051/proc/201760132

Julien Reygner 1

1 Université Paris-Est, CERMICS (ENPC), F-77455 Marne-la-Vallée 
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     title = {Long time behaviour and mean-field limit of {Atlas} models},
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     doi = {10.1051/proc/201760132},
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     url = {http://geodesic.mathdoc.fr/articles/10.1051/proc/201760132/}
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Julien Reygner. Long time behaviour and mean-field limit of Atlas models. ESAIM. Proceedings, Tome 60 (2017), pp. 132-143. doi: 10.1051/proc/201760132

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