Seminar

Language English
From 2013/04/12 13:30
To 2013/04/12 14:30
Place127 Conference Room, Building No.3, Faculty of Science, Kyoto University
Seminar NameKansai Probability Theory Seminar
Title Large deviations for diffusions interacting through their rank　
Field Analysis
SpeakersAmir Dembo
AffiliationStanford University
AbstractSystems of many diffusion processes (particles) with rank-based
interactions appear in stochastic portfolio theory and in statistical
physics. In this talk (based on a joint work with Shkolnikov, Varadhan
and Zeitouni), we consider tail behavior (i.e. large deviations), for
such systems, out of which we find that the limiting dynamics follows
a porous medium equation with convection, and moreover, that paths of
finite exponential decay rate correspond to solutions of appropriately
tilted versions of this equation. This is the first instance of a
large deviations principle for diffusions interacting via diffusion
coefficients that are not globally Lipschitz (nor even continuous).
Note拡大セミナー
*いつもと時間・場所が違います．
Linkhttp://www.math.kyoto-u.ac.jp/~kyano/ks/index_j.html