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ArticleLarge systems of diffusions interacting through their ranks

Mykhaylo Shkolnikov2012

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Articlebronze2012

Large systems of diffusions interacting through their ranks

Mykhaylo Shkolnikov

59 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Complex Systems and Time Series Analysis

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References

2007Brownian Motion and Stochastic Calculus 2003Limit Theorems for Stochastic Processes 1998Brownian Motion and Stochastic Calculus 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES 1988Brownian Models of Queueing Networks with Heterogeneous Customer Populations 2002Stochastic Portfolio Theory 1988On the McKean‐Vlasov Limit for Interacting Diffusions 1997A stochastic particle method for the McKean-Vlasov and the Burgers equation

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2016Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games 2022McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations 2019A Mean Field Competition

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Details

Year2012

Typearticle

Published2012-01-30

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations59

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2012.01.011

openalex_workW2083051656

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