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Probability and Computational Finance Seminar
Praveen Kolli
Carnegie Mellon University
Title: SPDE limit of Fluctations of Rank Based Stochastic Differential Equations

Abstract: We study the fluctuations of a system of diffusions interacting through the ranks when the number of diffusions goes to infinity. It is known that the empirical cumulative distribution function of such diffusions converges to a non-random limiting cumulative distribution function which satisfies the porous medium PDE. We show that the fluctuations of the empirical cumulative distribution function around its limit are governed by a suitable SPDE.

Date: Monday, November 7, 2016
Time: 5:00 pm
Location: Wean Hall 8220
Submitted by:  Steve Shreve