The Bennati-Dragulescu-Yakovenko model in the continuous setting: PDE derivation and long-time behavior

TL;DR

This paper derives a nonlinear PDE from a discrete wealth exchange model, proving its long-term convergence to an exponential distribution, thus bridging stochastic and deterministic wealth dynamics.

Contribution

It introduces a continuous PDE model for the BDY wealth exchange, providing rigorous derivation, existence, uniqueness, and convergence analysis, which is novel compared to existing kinetic models.

Findings

The PDE converges to the Boltzmann-Gibbs distribution.

Existence and uniqueness of solutions are established.

The model bridges discrete stochastic and continuous deterministic wealth dynamics.

Abstract

In this manuscript, we develop and analyze a continuous version of the well-known Bennati-Dragulescu-Yakovenko (BDY) dollar-exchange discrete model. Starting from the conservative BDY exchange mechanism, we rely on kinetic theory for multi-agent systems in order to propose an analogue continuous dynamics, which does not belong to the class of other popular kinetic models for wealth exchange. We employ the quasi-invariant limit procedure to rigorously derive a nonlinear PDE on the half-line, which is a Fokker-Planck equation featuring the boundary value in the drift term. The PDE is supplemented with a nonlinear Robin-type boundary condition encoding conservation of total agents and wealth. We prove existence and uniqueness of the solution, which converges in relative entropy to the unique stationary state that is the Boltzmann-Gibbs (exponential) distribution. We determine the $L^1$ convergence (up to subsequences) of the solution toward this equilibrium: this requires us to make a step forward with respect to established arguments of entropy decay for Fokker-Planck equations. Thus, our results, which bridge the discrete stochastic dynamics with a continuous deterministic evolution equation, provide a novel and influential wealth exchange model in a PDE framework, which opens up many new applicative scenarios and methodological analytical challenges.