SPDE limit of the global fluctuations in rank-based models
SPDE limit of the global fluctuations in rank-based models
We consider systems of diffusion processes (“particles”) interacting through their ranks (also referred to as “rank-based models” in the mathematical finance literature). We show that, as the number of particles becomes large, the process of fluctuations of the empirical cumulative distribution functions converges to the solution of a linear parabolic …