SPDE limit of the global fluctuations in rank-based models

DOI10.1214/17-AOP1200zbMath1430.60057arXiv1608.00814MaRDI QIDQ1746148

Mykhaylo Shkolnikov, Praveen Kolli

Publication date: 24 April 2018

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

Full work available at URL: https://arxiv.org/abs/1608.00814

zbMATH Keywords

stochastic partial differential equationsporous medium equationcentral limit theoremsstochastic portfolio theoryWasserstein distancesGaussian random fieldsmean field interactionfluctuations in interacting particle systemslarge equity marketsquantitative propagation of chaos estimatesrank-based models

Mathematics Subject Classification ID

Interacting particle systems in time-dependent statistical mechanics (82C22) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (8)

Equilibrium large deviations for mean-field systems with translation invariance ⋮ Degenerate competing three-particle systems ⋮ A note on transportation cost inequalities for diffusions with reflections ⋮ Propagation of chaos for maxima of particle systems with mean-field drift interaction ⋮ Long time behaviour and mean-field limit of Atlas models ⋮ Dynamics of observables in rank-based models and performance of functionally generated portfolios ⋮ Large rank-based models with common noise ⋮ Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws

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