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Andrey Sarantsev


Speaker: Andrey Sarantsev
Title: Competing Brownian Particles
Affiliation: University of California, Santa Barbara
Date: Friday, January 19, 2018
Place and Time: Room 101, Love Building, 3:35-4:30 pm
Refreshments: Room 204, Love Building, 3:00 pm

Abstract. We survey a newly developed theory of interacting Brownian particles with rank-based drift and diffusion coefficients, with applications to financial modeling.