Showing math.PRShow all
2 papers · 1 filter
math.PR2026
Particle Systems and McKean--Vlasov Dynamics with Singular Interaction through Local Times
Graeme Baker, Ben Hambly, Philipp Jettkant
We study a system of reflected Brownian motions on the positive half-line in which each particle has a drift toward the origin determined by the local times at the origin of all th…
math.PR2025
Minimal Solutions to the Skorokhod Reflection Problem Driven by Jump Processes and an Application to Reinsurance
Graeme Baker, Ankita Chatterjee
We consider a reflected process in the positive orthant driven by an exogenous jump process. For a given input process, we show that there exists a unique minimal strong solution t…