2 papers
math.PR2018
Large Rank-Based Models with Common Noise
Praveen Kolli, Andrey Sarantsev
For large systems of Brownian particles interacting through their ranks introduced in (Banner, Fernholz, Karatzas, 2005), the empirical cumulative distribution function satisfies a…
math.PR2016
SPDE limit of the global fluctuations in rank-based models
Praveen Kolli, Mykhaylo Shkolnikov
We consider systems of diffusion processes ("particles") interacting through their ranks (also referred to as "rank-based models" in the mathematical finance literature). We show t…