Section: New Results

Multitype sticky particle systems

Participant : Benjamin Jourdain.

B. Jourdain and J. Reygner study multitype sticky particle systems which can be obtained as vanishing noise limits of multitype rank-based diffusions. Rank-based diffusion processes and their multitype generalization permit to reproduce empirical features of stock markets. B. Jourdain and J. Reygner have obtained the optimal rate of convergence as the number of particles grows to infinity of the approximate solution to a diagonal system of hyperbolic conservation laws based on multitype sticky particles.