14 citations · 17 across the 4 of their papers we have counts for
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math.PR2011★ 2 cited
Convergence rates for rank-based models with applications to portfolio theory
Tomoyuki Ichiba, Soumik Pal, Mykhaylo Shkolnikov
We determine rates of convergence of rank-based interacting diffusions and semimartingale reflecting Brownian motions to equilibrium. Convergence rate for the total variation metri…
math.PR2011★ 1 cited
Large volatility-stabilized markets
Mykhaylo Shkolnikov
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of d…