Large Deviations for Diffusions Interacting Through Their Ranks
Other Related Seminars
Feb 19, 2013, 02:00 PM - 03:30 PM | 736 Evans Hall | Happening As Scheduled
Mykhaylo Shkolnikov, UC Berkeley (Speaker)
Systems of diffusion processes (particles) with rank-based interactions have been studied heavily due to their importance in stochastic portfolio theory and the intriguing relations with particle systems appearing in statistical physics. We will study the behavior of this particle system as the number of particles gets large. By obtaining a large deviations principle, we will show that the...