Competing particle systems and their applications
Abstract/Contents
- Abstract
- The following dissertation studies several classes of competing particle systems, which are of importance in statistical physics and mathematical finance. Two main examples are systems which go by the names rank-based market models and volatility-stabilized market models in stochastic portfolio theory. Motivated by the applications, we analyze the behavior of the ordered particles, the shape of the invariant distributions for the processes of spacings between consecutive particles, the global behavior of the particle systems as the number of particles becomes large, as well as the corresponding systems of infinitely many particles.
Description
| Type of resource | text |
|---|---|
| Form | electronic; electronic resource; remote |
| Extent | 1 online resource. |
| Copyright date | 2012 |
| Publication date | 2011, c2012; 2011 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Associated with | Shkolnikov, Mykhaylo |
|---|---|
| Associated with | Stanford University, Department of Mathematics |
| Primary advisor | Dembo, Amir |
| Thesis advisor | Dembo, Amir |
| Thesis advisor | Papanicolaou, George |
| Thesis advisor | Ryzhik, Leonid |
| Advisor | Papanicolaou, George |
| Advisor | Ryzhik, Leonid |
Subjects
| Genre | Theses |
|---|
Bibliographic information
| Statement of responsibility | Mykhaylo Shkolnikov. |
|---|---|
| Note | Submitted to the Department of Mathematics. |
| Thesis | Thesis (Ph.D.)--Stanford University, 2012. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2012 by Mykhaylo Shkolnikov
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