3 citations · 5 across the 3 of their papers we have counts for
3 papers
math.PR2013★ 3 cited
Large deviations for interacting Bessel-like processes and applications to systemic risk
Tomoyuki Ichiba, Mykhaylo Shkolnikov
We establish a process level large deviation principle for systems of interacting Bessel-like diffusion processes. By establishing weak uniqueness for the limiting non-local SDE of…
q-fin.ST2013
A second-order stock market model
Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas
A first-order model for a stock market assigns to each stock a return parameter and a variance parameter that depend only on the rank of the stock. A second-order model assigns the…
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…