Well-posedness of state-dependent rank-based interacting systems
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.
Fields of Study & Subjects
Stochastic processes and financial applications
Stochastic processes and statistical mechanics
Nonlinear Differential Equations Analysis
Publication details
- Journal / source
- arXiv (Cornell University)
- Publication date
- 10 January 2026
- Language
- EN
- Document type
- Preprint