Large rank-based models with common noise

DOI10.1016/j.spl.2019.03.005zbMath1433.60037arXiv1802.06282OpenAlexW2894652594MaRDI QIDQ2322620

Praveen Kolli, Andrey Sarantsev

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.06282

zbMATH Keywords

weak convergenceporous medium equationempirical measureWasserstein distancecompeting Brownian particles

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Local time and additive functionals (60J55)

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