کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10527285 | 958770 | 2012 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Large systems of diffusions interacting through their ranks
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We study the limiting behavior of the empirical measure of a system of diffusions interacting through their ranks when the number of diffusions tends to infinity. We prove that under certain assumptions the limiting dynamics is given by a McKean-Vlasov evolution equation. Moreover, we show that the evolution of the cumulative distribution function under the limiting dynamics is governed by the generalized porous medium equation with convection. The implications of the results for rank-based models of capital distributions in financial markets are also explained.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 4, April 2012, Pages 1730-1747
Journal: Stochastic Processes and their Applications - Volume 122, Issue 4, April 2012, Pages 1730-1747
نویسندگان
Mykhaylo Shkolnikov,