Systems of Brownian particles with asymmetric collisions

DOI10.1214/14-AIHP646zbMath1333.60206arXiv1210.0259OpenAlexW2964176302MaRDI QIDQ5963220

Mykhaylo Shkolnikov, Ioannis Karatzas, Soumik Pal

Publication date: 4 March 2016

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.0259

zbMATH Keywords

stochastic differential equationsinvariance principlesjump processesinteracting particle systemsscaling limitsdeterminantal processesreflected Brownian motionsSkorokhod mapsstochastic portfolio theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26) Functional limit theorems; invariance principles (60F17) Portfolio theory (91G10)

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