Large systems of diffusions interacting through their ranks
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Publication:424497
DOI10.1016/j.spa.2012.01.011zbMath1276.60087arXiv1008.4611OpenAlexW2083051656MaRDI QIDQ424497
Publication date: 1 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.4611
diffusion processporous medium equationparticle methodMcKlean-Vlasov equationrank-based market model
Interacting particle systems in time-dependent statistical mechanics (82C22) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (31)
Equilibrium large deviations for mean-field systems with translation invariance ⋮ Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games ⋮ Backward propagation of chaos ⋮ On a strong form of propagation of chaos for McKean-Vlasov equations ⋮ 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 ⋮ Limit Theory for Controlled McKean--Vlasov Dynamics ⋮ Propagation of chaos for maxima of particle systems with mean-field drift interaction ⋮ A Kac model with exclusion ⋮ A Mean Field Competition ⋮ Large-Deviation Principle for Interacting Brownian Motions ⋮ Hierarchies, entropy, and quantitative propagation of chaos for mean field diffusions ⋮ Infinite systems of competing Brownian particles ⋮ Long time behaviour and mean-field limit of Atlas models ⋮ Convergence rates for rank-based models with applications to portfolio theory ⋮ Weak solutions of mean-field stochastic differential equations ⋮ Modeling flocks and prices: jumping particles with an attractive interaction ⋮ Comparison techniques for competing Brownian particles ⋮ A stock market model based on CAPM and market size ⋮ SPDE limit of the global fluctuations in rank-based models ⋮ Captive diffusions and their applications to order-preserving dynamics ⋮ A note on jump Atlas models ⋮ Concentration of measure for Brownian particle systems interacting through their ranks ⋮ Dynamics of observables in rank-based models and performance of functionally generated portfolios ⋮ Large Deviations for Diffusions Interacting Through Their Ranks ⋮ Large tournament games ⋮ Piecewise-tunneled captive processes and corridored random particle systems ⋮ McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations ⋮ Capital distribution and portfolio performance in the mean-field Atlas model ⋮ On a family of coupled diffusions that can never change their initial order
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