Comparison Techniques for Competing Brownian Particles

Abstract

Consider a finite system of Brownian particles on the real line. Each particle has drift and diffusion coefficients depending on its current rank relative to other particles, as in Karatzas, Pal and Shkolnikov (2012). We prove some comparison results for these systems. As an example, we show that if we remove a few particles from the top, then the gaps between adjacent particles become stochastically larger, the local times of collision between adjacent particles become stochastically smaller, and the remaining particles shift upward, in the sense of stochastic ordering.