Optimal Surviving Strategy for Drifted Brownian Motions with Absorption

Abstract

We study the 'Up the River' problem formulated by Aldous (2002), where a unit drift is distributed among a finite collection of Brownian particles on ${\mathbb{R}}_{+}$, which are annihilated once they reach the origin. Starting $K$ particles at $x=1$, we prove a conjecture of Aldous (2002) that the 'push-the-laggard' strategy of distributing the drift asymptotically (as $K\to \infty$) maximizes the total number of surviving particles, with approximately $\frac{4}{\sqrt{\pi }}{K}^{1/2}$ surviving particles. We further establish the hydrodynamic limit of the particle density, in terms of a two-phase PDE with a moving boundary, by utilizing certain integral identities and coupling techniques.

39 pages; no figure. Updated to match the version to be published

References in corpus (3)

• Atlas models of equity markets
• Hybrid Atlas models
• Equilibrium Fluctuations for a Discrete Atlas Model