セミナー

発表言語 英語
開催日 2013年04月12日 13時30分
終了日 2013年04月12日 14時30分
開催場所京都大学理学部3号館 (数学教室) 127大会議室
セミナー名関西確率論セミナー
タイトル Large deviations for diffusions interacting through their rank 
分野 解析
講演者名Amir Dembo
講演者所属Stanford University
概要Systems 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).
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リンクhttps://www.math.kyoto-u.ac.jp/~kyano/ks/index_j.html