On collisions of Brownian particles
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Publication:988761
DOI10.1214/09-AAP641zbMath1235.60111arXiv0810.2149MaRDI QIDQ988761
Ioannis Karatzas, Tomoyuki Ichiba
Publication date: 18 August 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0810.2149
Brownian motion (60J65) Martingales with continuous parameter (60G44) Sample path properties (60G17)
Related Items (26)
Degenerate competing three-particle systems ⋮ Domains of attraction of invariant distributions of the infinite atlas model ⋮ Diverse market models of competing Brownian particles with splits and mergers ⋮ Optimal surviving strategy for drifted Brownian motions with absorption ⋮ Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation ⋮ Two-Sided Infinite Systems of Competing Brownian Particles ⋮ Concentration for multidimensional diffusions and their boundary local times ⋮ Dynamics of finite inhomogeneous particle systems with exclusion interaction ⋮ A Monte Carlo Method for Estimating Sensitivities of Reflected Diffusions in Convex Polyhedral Domains ⋮ Infinite systems of competing Brownian particles ⋮ Long time behaviour and mean-field limit of Atlas models ⋮ Diffusions with rank-based characteristics and values in the nonnegative quadrant ⋮ Permutation-weighted portfolios and the efficiency of commodity futures markets ⋮ Convergence rates for rank-based models with applications to portfolio theory ⋮ Strong solutions of stochastic equations with rank-based coefficients ⋮ Zipf’s law for atlas models ⋮ Comparison techniques for competing Brownian particles ⋮ Hybrid Atlas models ⋮ Perturbed GUE minor process and Warren's process with drifts ⋮ Attractiveness of Brownian queues in tandem ⋮ On collision of multiple eigenvalues for matrix-valued Gaussian processes ⋮ Concentration of measure for Brownian particle systems interacting through their ranks ⋮ Reflected backward stochastic differential equation with rank-based data ⋮ Large Deviations for Diffusions Interacting Through Their Ranks ⋮ Multidimensional sticky Brownian motions as limits of exclusion processes ⋮ Capital distribution and portfolio performance in the mean-field Atlas model
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