Hybrid atlas models

Annals of Applied Probability

Volumn 21, Issue 2, 2011, Pages 609-644

  Ichiba, Tomoyuki ^a   Papathanakos, Vassilios ^b   Banner, Adrian ^b   Karatzas, Ioannis ^b   Fernholz, Robert ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b Intech Investment Management   (United States)

Author keywords

Diffusion processes interacting through their ranks; Growth Optimal and universal portfolios; Invariant measure of diffusion; Local times of Bessel processes; Reflected Brownian motions in polyhedral domains

Indexed keywords

EID: 79953271236     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/10-AAP706     Document Type: Article

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