Abstract
| Abstract: We consider heterogeneously interacting diffusive particle systems and their large population limit. The interaction is of mean field type with random weights characterized by an underlying graphon. The limit is given by a graphon particle system consisting of independent but heterogeneous nonlinear diffusions whose probability distributions are fully coupled. A law of large numbers result is established as the system size increases and the underlying graphons converge. Under suitable additional assumptions, we show the exponential ergodicity for the system, establish the uniform in time law of large numbers, and introduce the uniform in time Euler approximation. The precise rate of convergence of the Euler approximation is provided. Based on joint works with Suman Chakraborty and Ruoyu Wu. |
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The aim of this special issue is to feature research papers on theory, methodology, and applications of models and methods for recent advances in statistical finance. We encourage submissions presenting original works on statistical, computational, and mathematical approaches to modelling and analysis of financial data. Innovative applications and case studies in financial statistics are welcome, especially related to novel methodological challenges in the treatment of big data and high-frequency data.
This special issue will bring together contributions from practitioners and researchers working on different aspects of statistical methods in finance, with methodological interests encompassing, but not limited to, the following domains:
The motivating application areas could be: For More Detail ...If you are a student and want your paper to be considered for student paper competition, then ask your supervisor to send a mail at statfin@cmi.ac.in, with a particular mention that you were the primary contributor and author of the paper by May 15, 2021.
You must submit your paper by May 15, 2021, to be considered for the competition. Mail your paper at statfin@cmi.ac.in
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