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Probability and Computational Finance Seminar
Mykhaylo Shkolnikov
University of California, Berkeley
Title: Scaling limits of interacting particle systems of exclusion type

Abstract: We will discuss a wide class of exclusion processes with speed change which includes the well-known asymmetric simple exclusion process (ASEP), but allows for an additional local interaction between particles. We will show that the scaling limits of such processes are given by systems of Brownian particles colliding in an asymmetric manner. Applications of this result include the resolution of the long-standing open problem of determining the time-reversal of multidimensional reflected Brownian motions in the orthant and a description of the fluctuations at the edge for a class of models of random surfaces. Based on joint works with Ioannis Karatzas and Soumik Pal.

Date: Friday, December 6, 2013
Time: 4:30 pm
Location: Wean Hall 7218
Submitted by:  Pisztora
Note: Refreshments at 4:00 pm, Wean Hall 6220.