Large rank-based models with common noise

DOI10.1016/J.SPL.2019.03.005MaRDI QIDQ2322620zbMATH OpenOpenAlexFDO

Authors Praveen Kolli, Andrey Sarantsev

Publication date 5 September 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.06282

zbMATH Keywords

competing Brownian particlesempirical measureporous medium equationWasserstein distanceweak convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Local time and additive functionals (60J55) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Abstract: For large systems of Brownian particles interacting through their ranks introduced in (Banner, Fernholz, Karatzas, 2005), the empirical cumulative distribution function satisfies a porous medium PDE. However, when we introduce a common noise, the limit is no longer deterministic. Instead, we show that this limit is a solution of a stochastic PDE related to this porous medium PDE. This stochastic PDE is somewhat similar to the equations developed for conservation laws with rough stochastic fluxes (Lions, Perthame, Souganidis, 2013).

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Cited in

(4)

• SPDE limit of the global fluctuations in rank-based models
• The small noise limit of order-based diffusion processes
• From rank-based models with common noise to pathwise entropy solutions of SPDEs
• Macroscopic properties of equity markets: stylized facts and portfolio performance

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