Multidimensional sticky Brownian motions as limits of exclusion processes
DOI10.1214/14-AAP1019zbMath1315.60111arXiv1302.2678OpenAlexW2086083393MaRDI QIDQ2346069
Miklós Z. Rácz, Mykhaylo Shkolnikov
Publication date: 29 May 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.2678
stochastic differential equationsexclusion processesscaling limitsstochastic portfolio theoryreflected Brownian motionsticky Brownian motion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (11)
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