Concentration of measure for Brownian particle systems interacting through their ranks
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Publication:2511556
DOI10.1214/13-AAP954zbMath1297.82023arXiv1011.2443MaRDI QIDQ2511556
Mykhaylo Shkolnikov, Soumik Pal
Publication date: 6 August 2014
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1011.2443
concentration of measure; Skorokhod maps; stochastic portfolio theory; Atlas model; transportation cost inequalities; Brownian particle systems
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
82C22: Interacting particle systems in time-dependent statistical mechanics
60J65: Brownian motion
91G10: Portfolio theory
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