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arXiv · 2208.05629

From interacting agents to Boltzmann-Gibbs distribution of money

Fei Cao·Pierre-Emmanuel Jabin
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Abstract

We investigate the unbiased model for money exchanges: agents give at random time a dollar to one another (if they have one). Surprisingly, this dynamics eventually leads to a geometric distribution of wealth (shown empirically by Dragulescu and Yakovenko in [11] and rigorously in [2,12,15,18]). We prove a uniform-in-time propagation of chaos result as the number of agents goes to infinity, which links the stochastic dynamics to a deterministic infinite system of ordinary differential equations. This deterministic description is then analyzed by taking advantage of several entropy-entropy dissipation inequalities and we provide a quantitative almost-exponential rate of convergence toward the equilibrium (geometric distribution) in relative entropy.

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Fei Cao, Pierre-Emmanuel Jabin. 2022-08-11. From interacting agents to Boltzmann-Gibbs distribution of money. https://arxiv.org/abs/2208.05629

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