Statistics and Data Science Seminar
Andrey Sarantsev
University of California, Santa Barbara
Competing Brownian particles
Abstract: Consider a finite or infinite system of Brownian particles on the real line. Each particle moves as a Brownian motion
with drift and diffusion coefficients depending on its current rank relative to other particles. These systems were
introduced in Banner, Fernholz, Karatzas (2005). Since then, extensive theory was developed for finite systems.
However, infinite systems proved to be much more difficult. We survey the latest results.
TBA
Wednesday September 7, 2016 at 4:00 PM in SEO 636