Convergence rates for rank-based models with applications to portfolio theory
From MaRDI portal
Publication:1955832
DOI10.1007/s00440-012-0432-5zbMath1274.60291arXiv1108.0384MaRDI QIDQ1955832
Soumik Pal, Tomoyuki Ichiba, Mykhaylo Shkolnikov
Publication date: 19 June 2013
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1108.0384
reflecting Brownian motion; stochastic portfolio theory; market weights; Rank-based interacting diffusions
60K35: Interacting random processes; statistical mechanics type models; percolation theory
60G07: General theory of stochastic processes
91B26: Auctions, bargaining, bidding and selling, and other market models
91G10: Portfolio theory
Related Items
Two-Sided Infinite Systems of Competing Brownian Particles, Long time behaviour and mean-field limit of Atlas models, Information Geometry in Portfolio Theory, Zipf’s law for atlas models, Dimension-free local convergence and perturbations for reflected Brownian motions, Diverse market models of competing Brownian particles with splits and mergers, Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation, Large systems of diffusions interacting through their ranks, Infinite systems of competing Brownian particles, Backward stochastic differential equations with rank-based data, Comparison techniques for competing Brownian particles, SPDE limit of the global fluctuations in rank-based models, Ergodic robust maximization of asymptotic growth, Sub-exponential rate of convergence to equilibrium for processes on the half-line, Dynamics of observables in rank-based models and performance of functionally generated portfolios, The infinite Atlas process: convergence to equilibrium, Large rank-based models with common noise, Capital distribution and portfolio performance in the mean-field Atlas model, Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution, A note on transportation cost inequalities for diffusions with reflections, Parameter and dimension dependence of convergence rates to stationarity for reflecting Brownian motions, Permutation-weighted portfolios and the efficiency of commodity futures markets, Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Large systems of diffusions interacting through their ranks
- Hybrid Atlas models
- A positive recurrent reflecting Brownian motion with divergent fluid path
- Competing particle systems evolving by interacting Lévy processes
- Archimedes' principle for Brownian liquid
- A combinatorial analysis of interacting diffusions
- Local times of ranked continuous semimartingales
- Propagation of chaos and Poincaré inequalities for a system of particles interacting through their CDF
- On collisions of Brownian particles
- A simple proof of the Poincaré inequality for a large class of probability measures
- Competing particle systems evolving by I.I.D. Increments
- Reflected Brownian motion with skew symmetric data in a polyhedral domain
- Reflected Brownian motion on an orthant
- Lyapunov functions for semimartingale reflecting Brownian motions
- The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator
- On the stability of the linear Skorokhod problem in an orthant
- Multidimensional reflected Brownian motions having exponential stationary distributions
- Uniqueness for diffusions with piecewise constant coefficients
- A boundary property of semimartingale reflecting Brownian motions
- On the structure of quasi-stationary competing particle systems
- Remarks on non-interacting conservative spin systems: the case of gamma distributions
- Weak convergence of the scaled median of independent Brownian motions
- Long time asymptotics for constrained diffusions in polyhedral domains
- One-dimensional Brownian particle systems with rank-dependent drifts
- A phase transition behavior for Brownian motions interacting through their ranks
- Transportation-information inequalities for Markov processes
- Atlas models of equity markets
- Characterization of invariant measures at the leading edge for competing particle systems
- Concentration of measure for Brownian particle systems interacting through their ranks
- A sufficient condition for the positive recurrence of a semimartingale reflecting Brownian motion in an orthant
- The adjoint process of a diffusion with reflecting barrier
- Eigenvalues and eigenvectors of some tridiagonal matrices with non-constant diagonal entries
- Stochastic Portfolio Theory: an Overview
- Foundations of Modern Probability
- Chernoff and Berry–Esséen inequalities for Markov processes
- The advantage of capitalism vs. socialism depends on the criterion
- Diffusion with “collisions” between particles
