Date: Thursday, October 27, 2011
Location: 3088 East Hall (3:00 PM to 4:00 PM)
Title: On collision of Brownian particles and applications
Abstract: In this talk we examine the colliding behavior of Brownian particles which diffuse on the real line determined by a class of stochastic differential equations. The absence and the presence of triple (or higher order) collisions among the particles are crucial in analysis of local time processes accumulated by these collisions. Especially, this analysis sheds light on some important characteristics (e.g., identification, solvability, time-reversal, invariant distributions, large deviations) of the stochastic system with discontinuous or degenerate coefficients. As case studies, we consider a financial equity market model with rank based characteristics as well as a systemic risk analysis of interbank lending system.
Speaker: Tomoyuki Ichiba
Institution: University of California at Santa Barbara
Event Organizer: Erhan Bayraktar erhan@umich.edu
|
