Well-posedness of state-dependent rank-based interacting systems

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Authors: Hélène Guérin, Nathalie Krell
Cited by: 0

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