Large rank-based models with common noise

Praveen Kolli and Andrey Sarantsev

Statistics & Probability Letters, 2019, vol. 151, issue C, 29-35

Abstract: For large systems of Brownian particles interacting through their ranks introduced in (Banner et al., 2005), the empirical cumulative distribution function satisfies a porous medium PDE. However, when we introduce a common noise, the limit is no longer deterministic. Instead, we show that this limit is a solution of a stochastic PDE related to this porous medium PDE. This stochastic PDE is somewhat similar to the equations developed for conservation laws with rough stochastic fluxes (Lions et al., 2013).

Keywords: Competing Brownian particles; Porous medium equation; Weak convergence; Wasserstein distance; Empirical measure (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.03.005

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