most citedPlanar Diffusions with Rank-Based Characteristics: Transition Probabilities, Time Reversal, Maximality and Perturbed Tanaka equations

5 citations · 5 across the 2 of their papers we have counts for

collaborators

2 papers

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.PR2011★ 5 cited

Planar Diffusions with Rank-Based Characteristics: Transition Probabilities, Time Reversal, Maximality and Perturbed Tanaka equations

E. Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas +1

We construct a planar diffusion process whose infinitesimal generator depends only on the order of the components of the process. Speaking informally and a bit imprecisely for the…