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CCF 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 |