A class of Weakly Interactive Particle Systems and SPDEs
|
Mon, 08/02/2010 14:15 |
Lei Jin (University of Oxford) |
Stochastic Analysis Seminar  |
Eagle House |
| We investigate a class of weakly interactive particle systems with absorption. We assume that the coefficients in our model depend on an "absorbing" factor and prove the existence and uniqueness of the proposed model. Then we investigate the convergence of the empirical measure of the particle system and derive the Stochastic PDE satisfied by the density of the limit empirical measure. This result can be applied to credit modelling. This is a joint work with Dr. Ben Hambly. | |||