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René Ferland - Propagation of chaos: from Physics to Finance



RENÉ FERLAND, Université du Québec à Montréal, Montréal, Québec  H3C 3P8, Canada
Propagation of chaos: from Physics to Finance


The chaos propagation property was first proved by Mark Kac for a simple model which bear his name since then. We present chaos propagation results (and fluctuations) for Boltzmann-like equations (scalar and mollified) and for scalar conservation laws. We also discuss possible applications of propagation of chaos in mathematical finance.



 

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