127 citations · 236 across the 18 of their papers we have counts for
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q-fin.PM2013★ 13 cited
Capital distribution and portfolio performance in the mean-field Atlas model
Benjamin Jourdain, Julien Reygner
We study a mean-field version of rank-based models of equity markets such as the Atlas model introduced by Fernholz in the framework of Stochastic Portfolio Theory. We obtain an as…
math.PR2013★ 15 cited
The small noise limit of order-based diffusion processes
Benjamin Jourdain, Julien Reygner
We introduce order-based diffusion processes as the solutions to multidimensional stochastic differential equations, with drift coefficient depending only on the ordering of the co…