From interacting agents to Boltzmann-Gibbs distribution of money

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, and rigorously by several follow-up papers). 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.