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Large systems of diffusions interacting through their ranks
13 references·3 citing·38 second hop
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
  • 1988Brownian Models of Queueing Networks with Heterogeneous Customer Populations356 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 1988On the McKean‐Vlasov Limit for Interacting Diffusions235 cited
  • 1997A stochastic particle method for the McKean-Vlasov and the Burgers equation203 cited
  • 1993Brownian models of multiclass queueing networks: Current status and open problems177 cited
  • 2005Atlas models of equity markets148 cited
  • 1993Existence and uniqueness of semimartingale reflecting Brownian motions in an orthant130 cited
  • 2011Hybrid Atlas models117 cited
  • 1988Stochastic Differential Systems, Stochastic Control Theory and Applications100 cited

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  • 2016Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games49 cited
  • 2022McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations

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46 cited
  • 2019A Mean Field Competition27 cited