Diverse market models of competing Brownian particles with splits and mergers
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Publication:303944
DOI10.1214/15-AAP1118zbMath1347.91229arXiv1404.0748OpenAlexW3098606361MaRDI QIDQ303944
Andrey Sarantsev, Ioannis Karatzas
Publication date: 23 August 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.0748
Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Diffusion processes (60J60) Portfolio theory (91G10)
Related Items (8)
Two-Sided Infinite Systems of Competing Brownian Particles ⋮ Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution ⋮ Diversity-weighted portfolios with negative parameter ⋮ Backward stochastic differential equations with rank-based data ⋮ Comparison techniques for competing Brownian particles ⋮ A stock market model based on CAPM and market size ⋮ A note on jump Atlas models ⋮ Dynamic contagion in a banking system with births and defaults
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