3 papers
math.PR2024
On the Mean-Field limit of diffusive games through the master equation: estimates and extreme value behavior
Erhan Bayraktar, Nikolaos Kolliopoulos
We consider an -player game where the states of the players evolve with time as Stochastic Differential Equations (SDEs) with interaction only in the drift terms. Each player co…
math.PR2019
ERRATUM: Stochastic evolution equations for large portfolios of stochastic volatility models
Ben Hambly, Nikolaos Kolliopoulos
In the article "Stochastic evolution equations for large portfolios of Stochastic Volatility models" (Arxiv:1701.05640) there is a mistake in the proof of Theorem 3.1. In this erra…
math.PR2018
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Ben Hambly, Nikolaos Kolliopoulos
We consider an SPDE description of a large portfolio limit model where the underlying asset prices evolve according to certain stochastic volatility models with default upon hittin…