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- W2788801983 abstract "We study the limiting behavior of the empirical measure of the interacting diffusions (particles) in the classical rank-based model with a rank preserving common noise. It is known that as the number of particles becomes large the empirical cumulative distribution of the particles in the classical rank-based model satisfies the porous medium PDE. However, when we introduce a common noise the limiting distribution function is no longer deterministic and furthermore, it satisfies a SPDE. We show that the resulting SPDE has a unique strong solution when the common noise has a special rank preserving structure." @default.
- W2788801983 created "2018-03-06" @default.
- W2788801983 creator A5081893217 @default.
- W2788801983 date "2018-02-17" @default.
- W2788801983 modified "2023-09-27" @default.
- W2788801983 title "Hydrodynamic limit of rank-based models with common noise" @default.
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