Large systems of diffusions interacting through their ranks
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References listed on IDEAS
- Tomoyuki Ichiba & Vassilios Papathanakos & Adrian Banner & Ioannis Karatzas & Robert Fernholz, 2009. "Hybrid Atlas models," Papers 0909.0065, arXiv.org, revised Apr 2011.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Benjamin Jourdain & Julien Reygner, 2015. "Capital distribution and portfolio performance in the mean-field Atlas model," Annals of Finance, Springer, vol. 11(2), pages 151-198, May.
- Sergio A. Almada Monter & Mykhaylo Shkolnikov & Jiacheng Zhang, 2018. "Dynamics of observables in rank-based models and performance of functionally generated portfolios," Papers 1802.03593, arXiv.org.
- Shkolnikov, Mykhaylo, 2013. "Large volatility-stabilized markets," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 212-228.
- Benjamin Jourdain & Julien Reygner, 2015. "Capital distribution and portfolio performance in the mean-field Atlas model," Post-Print hal-00921151, HAL.
- Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
- Praveen Kolli & Mykhaylo Shkolnikov, 2016. "SPDE limit of the global fluctuations in rank-based models," Papers 1608.00814, arXiv.org.
More about this item
KeywordsDiffusion processes; McKean–Vlasov equation; Porous medium equation; Particle method; Capital distributions; Rank-based market models;
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