A phase transition behavior for Brownian motions interacting through their ranks

DOI10.1007/s00440-009-0203-0zbMath1188.60049arXiv0706.3558OpenAlexW2111640127MaRDI QIDQ2380764

Sourav Chatterjee, Soumik Pal

Publication date: 12 April 2010

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0706.3558

zbMATH Keywords

Poisson-Dirichlet lawasymptotic computations`continuity at the edge' conditionmodels of equity marketsrescaled point process

Mathematics Subject Classification ID

Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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