Atlas models of equity markets

DOI10.1214/105051605000000449zbMath1099.91056arXivmath/0602521OpenAlexW2009366157MaRDI QIDQ2496492

Adrian D. Banner, E. Robert Fernholz, Ioannis Karatzas

Publication date: 10 July 2006

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602521

zbMATH Keywords

order statistics stochastic differential equations diffusion process local times financial markets diversity ergodic properties certainty-equivalent approximation portfolios and their growth rates ranked capitalization process stability of capital distribution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55) Portfolio theory (91G10)

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