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Title: Hydrodynamic limit for the A + B → Ø model
Authors: Bovier, AntonČerný, Jiri
Issue Date: 2006
Published in: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik , Volume 1114, ISSN 0946-8633
Publisher: Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
Abstract: We study a two-species interacting particle model on a subset of $Z$ with open boundaries. The two species are injected with time dependent rate on the left, resp. right boundary. Particles of different species annihilate when they try to occupy the same site. This model has been proposed as a simple model for the dynamics of an ``order book'' on a stock market. We consider the hydrodynamic scaling limit for the empirical process and prove a large deviation principle that implies convergence to the solution of a non-linear parabolic equation.
Keywords: Hydrodynamic limit; large deviations; order book dynamics
DDC: 510
License: This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.
Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.
Appears in Collections:Mathematik

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