Large Deviations for Diffusions Interacting Through Their Ranks
From MaRDI portal
Publication:2812290
DOI10.1002/cpa.21640zbMath1341.60010arXiv1211.5223OpenAlexW2963946700MaRDI QIDQ2812290
Amir Dembo, Mykhaylo Shkolnikov, Ofer Zeitouni, Srinivasa R. S. Varadhan
Publication date: 16 June 2016
Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.5223
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Diffusion processes (60J60) Large deviations (60F10)
Related Items
Equilibrium large deviations for mean-field systems with translation invariance, Degenerate competing three-particle systems, Domains of attraction of invariant distributions of the infinite atlas model, A note on transportation cost inequalities for diffusions with reflections, Optimal surviving strategy for drifted Brownian motions with absorption, Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation, Two-Sided Infinite Systems of Competing Brownian Particles, Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution, Large-Deviation Principle for Interacting Brownian Motions, Large systems of diffusions interacting through their ranks, Infinite systems of competing Brownian particles, Long time behaviour and mean-field limit of Atlas models, Permutation-weighted portfolios and the efficiency of commodity futures markets, Zipf’s law for atlas models, Comparison techniques for competing Brownian particles, SPDE limit of the global fluctuations in rank-based models, Dynamics of observables in rank-based models and performance of functionally generated portfolios, Large rank-based models with common noise, Capital distribution and portfolio performance in the mean-field Atlas model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation
- Large systems of diffusions interacting through their ranks
- Some \(L_{p}\)-estimates for elliptic and parabolic operators with measurable coefficients
- Hybrid Atlas models
- A combinatorial analysis of interacting diffusions
- On collisions of Brownian particles
- On a nonlinear degenerate parabolic equation in infiltration or evaporation through a porous medium
- Sequences of convex functions and estimates of the maximum of the solution of a parabolic equation
- Diffusion processes associated with nonlinear evolution equations for signed measures
- Uniqueness for diffusions with piecewise constant coefficients
- Large deviations: From empirical mean and measure to partial sums process
- Strong solutions of stochastic equations with rank-based coefficients
- One-dimensional Brownian particle systems with rank-dependent drifts
- A phase transition behavior for Brownian motions interacting through their ranks
- Atlas models of equity markets
- Concentration of measure for Brownian particle systems interacting through their ranks
- Convergence rate for the approximation of the limit law of weakly interacting particles: Application to the Burgers equation
- Parabolic and Elliptic Equations with VMO Coefficients
- Stochastic Portfolio Theory: an Overview
- A regularity condition on the transition probability measure of a diffusion process
- On the McKean-Vlasov Limit for Interacting Diffusions
- Uniform Central Limit Theorems
- Large deviations from the mckean-vlasov limit for weakly interacting diffusions
- Real Analysis and Probability
- A stochastic particle method for the McKean-Vlasov and the Burgers equation
- Stochastic differential equations. An introduction with applications.
