We investigate the uniform reshuffling model for money exchanges: two agents picked uniformly at random redistribute their dollars between them. This stochastic dynamics is of mean-field type and eventually leads to a exponential distribution of wealth. To better understand this dynamics, we investigate its limit as the number of agents goes to infinity. We prove rigorously the so-called propagation of chaos which links the stochastic dynamics to a (limiting) nonlinear partial differential equation (PDE). This deterministic description, which is well-known in the literature, has a flavor of the classical Boltzmann equation arising from statistical mechanics of dilute gases. We prove its convergence toward its exponential equilibrium distribution in the sense of relative entropy.
|Number of pages
|Mathematical Models and Methods in Applied Sciences
|Published - Apr 1 2023
All Science Journal Classification (ASJC) codes
- Modeling and Simulation
- Applied Mathematics