On diffusions interacting through their ranks

On diffusions interacting through their ranks

Probability Seminar
Feb 29, 2012, 03:10 PM - 04:00 PM | 332 Evans Hall | Happening As Scheduled
Mykhaylo Shkolnikov, MSRI
We will discuss systems of diffusion processes on the real line, in which the dynamics of every single process is determined by its rank in the entire particle system. Such systems arise in mathematical finance and statistical physics, and are related to heavy-traffic approximations of queueing networks. Motivated by the applications, we address questions about invariant distributions,...