From rank-based models with common noise to pathwise entropy solutions
of SPDEs
From rank-based models with common noise to pathwise entropy solutions
of SPDEs
We study the mean field limit of a rank-based model with common noise, which arises as an extension to models for the market capitalization of firms in stochastic portfolio theory. We show that, under certain conditions on the drift and diffusion coefficients, the empirical cumulative distribution function converges to the …