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math.PR2012
Two Brownian Particles with Rank-Based Characteristics and Skew-Elastic Collisions
E. Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas
We construct a two-dimensional diffusion process with rank-dependent local drift and dispersion coefficients, and with a full range of patterns of behavior upon collision that rang…
math.PR2012★ 5 cited
Diffusions with rank-based characteristics and values in the nonnegative quadrant
Tomoyuki Ichiba, Ioannis Karatzas, Vilmos Prokaj
We construct diffusions with values in the nonnegative orthant, normal reflection along each of the axes, and two pairs of local drift/variance characteristics assigned according t…