Stochastic ranking process with space-time dependent intensities

Tetsuya Hattori, Seiichiro Kusuoka

    Research output: Contribution to journalArticlepeer-review

    4 Citations (Scopus)

    Abstract

    We consider the stochastic ranking process with space-time dependent jump rates for the particles. The process is a simplified model of the time evolution of the rankings such as sales ranks at online bookstores. We prove that the joint empirical distribution of jump rate and scaled position converges almost surely to a deterministic distribution, and also the tagged particle processes converge almost surely, in the infinite particle limit. The limit distribution is characterized by a system of inviscid Burgers-like integral-partial differential equations with evaporation terms, and the limit process of a tagged particle is a motion along a characteristic curve of the differential equations except at its Poisson timesof jumps to the origin.

    Original languageEnglish
    Pages (from-to)571-607
    Number of pages37
    JournalAlea
    Volume9
    Issue number2
    Publication statusPublished - Dec 1 2012

    Keywords

    • Hydrodynamic limit
    • Inviscid Burgers equation
    • Move-to-front rules.
    • Poisson process
    • Stochastic ranking process

    ASJC Scopus subject areas

    • Statistics and Probability

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