16 citations · 29 across the 9 of their papers we have counts for
10 papers
Prediction with Five Experts and Geometric Stopping: A Probabilistic Construction and Analytic Verification
Erhan Bayraktar, Ibrahim Ekren, Nikolaos Kolliopoulos
We present a solution of the limiting five-expert prediction problem with geometric stopping, based on stochastic calculus and partial differential equations. If is the stoppin…
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…
Large-population asymptotics for the maximum of diffusive particles with mean-field interaction in the noises
Nikolaos Kolliopoulos, David Sanchez, Amy Xiao
We study the limit of the normalized largest component in some systems of diffusive particles with mean-field interaction. By applying a universal time change, t…
Propagation of chaos for point processes induced by particle systems with mean-field drift interaction
Nikolaos Kolliopoulos, Martin Larsson, Zeyu Zhang
We study the asymptotics of the point process induced by an interacting particle system with mean-field drift interaction. Under suitable assumptions, we establish propagation of c…
Propagation of chaos for maxima of particle systems with mean-field drift interaction
Nikolaos Kolliopoulos, Martin Larsson, Zeyu Zhang
We study the asymptotic behavior of the normalized maxima of real-valued diffusive particles with mean-field drift interaction. Our main result establishes propagation of chaos: in…
Well-posedness of a system of SDEs driven by jump random measures
Ying Jiao, Nikolaos Kolliopoulos
We establish well-posedness for a class of systems of SDEs with non-Lipschitz coefficients in the diffusion and jump terms and with two sources of interdependence: a monotone funct…
Stochastic PDEs for large portfolios with general mean-reverting volatility processes
Ben Hambly, Nikolaos Kolliopoulos
We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets. Both the asset value and the volatility processes are correlated th…
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…
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…
Stochastic evolution equations for large portfolios of stochastic volatility models
Ben Hambly, Nikolaos Kolliopoulos
We consider a large market model of defaultable assets in which the asset price processes are modelled as Heston-type stochastic volatility models with default upon hitting a lower…