Zipf’s law for atlas models
From MaRDI portal
Publication:5139930
DOI10.1017/jpr.2020.64zbMath1457.60108arXiv1707.04285OpenAlexW3108153244MaRDI QIDQ5139930
Ricardo Fernholz, E. Robert Fernholz
Publication date: 11 December 2020
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.04285
Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Mathematical geography and demography (91D20)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A second-order stock market model
- Hybrid Atlas models
- Equilibrium fluctuation of the Atlas model
- Local times of ranked continuous semimartingales
- On collisions of Brownian particles
- Reflected Brownian motion with skew symmetric data in a polyhedral domain
- Reflected Brownian motion on an orthant
- Multidimensional reflected Brownian motions having exponential stationary distributions
- Uniqueness for diffusions with piecewise constant coefficients
- Planar diffusions with rank-based characteristics and perturbed Tanaka equations
- Convergence rates for rank-based models with applications to portfolio theory
- Strong solutions of stochastic equations with rank-based coefficients
- The infinite Atlas process: convergence to equilibrium
- One-dimensional Brownian particle systems with rank-dependent drifts
- A phase transition behavior for Brownian motions interacting through their ranks
- Two Brownian particles with rank-based characteristics and skew-elastic collisions
- Atlas models of equity markets
- Triple and simultaneous collisions of competing Brownian particles
- Multidimensional diffusion processes.
- Large Deviations for Diffusions Interacting Through Their Ranks
- ON A CLASS OF SKEW DISTRIBUTION FUNCTIONS
- Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations
- Stochastic Portfolio Theory: an Overview
- Brownian models of open queueing networks with homogeneous customer populations∗
- Zipf's Law for Cities: An Explanation