Optimal surviving strategy for drifted Brownian motions with absorption

DOI10.1214/17-AOP1211zbMath1429.60075arXiv1512.04493OpenAlexW2964050600WikidataQ130037536 ScholiaQ130037536MaRDI QIDQ1647737

Wenpin Tang, Li-Cheng Tsai

Publication date: 26 June 2018

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.04493

zbMATH Keywords

moving boundaryhydrodynamic limitStefan problemscompeting Brownian particlesatlas model

Mathematics Subject Classification ID

Interacting particle systems in time-dependent statistical mechanics (82C22) Interacting random processes; statistical mechanics type models; percolation theory (60K35) PDEs in connection with mechanics of particles and systems of particles (35Q70)

Related Items (7)

Domains of attraction of invariant distributions of the infinite atlas model ⋮ A tale of two (and more) altruists ⋮ Stationary distributions of the Atlas model ⋮ Exponential ergodicity and convergence for generalized reflected Brownian motion ⋮ Dynamics of observables in rank-based models and performance of functionally generated portfolios ⋮ A Ruin Problem for a Two-Dimensional Brownian Motion with Controllable Drift in the Positive Quadrant ⋮ Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws

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