Explicit decay rate for the Gini index in the repeated averaging model

Abstract

We investigate the repeated averaging model for money exchanges: two agents picked uniformly at random share half of their wealth to each other. It is intuitively convincing that a Dirac distribution of wealth (centered at the initial average wealth) will be the long time equilibrium for this dynamics. In other words, the Gini index should converge to zero. To better understand this dynamics, we investigate its limit as the number of agents goes to infinity by proving the so-called propagation of chaos, which links the stochastic agent-based dynamics to a (limiting) nonlinear partial differential equation (PDE). This deterministic description has a flavor of the classical Boltzmann equation arising from statistical mechanics of dilute gases. We prove its convergence towards its Dirac equilibrium distribution by showing that the associated Gini index of the wealth distribution converges to zero with an explicit rate. KEYWORDS agent-based model, econophysics, Gini index, propagation of chaos, repeated averaging MSC CLASSIFICATION 91B80, 91B70

Uniform propagation of chaos for a dollar exchange econophysics model

“…respectively. For other models arising from econophysics, we refer to [2,5,9,10,17,22,26], and the references therein.…”