Stochastic ranking process with space-time dependent intensities

被引:0
作者
Hattori, Tetsuya [1 ]
Kusuoka, Seiichiro [2 ]
机构
[1] Keio Univ, Fac Econ, Math Lab, Yokohama, Kanagawa 2238521, Japan
[2] Tohoku Univ, Math Inst, Aoba Ku, Sendai, Miyagi 9808578, Japan
来源
ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS | 2012年 / 9卷 / 02期
基金
日本学术振兴会;
关键词
Stochastic ranking process; Poisson process; hydrodynamic limit; inviscid Burgers equation; move-to-front rules; ORGANIZING SEQUENTIAL SEARCH; COST; CONVERGENCE;
D O I
暂无
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
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 times of jumps to the origin.
引用
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页码:571 / 607
页数:37
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