60F17 Functional limit theorems; invariance principles
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Year of publication
- 2006 (1)
Language
- English (1)
Keywords
- hydrodynamic limit (1)
- large deviations (1)
- order book dynamics (1)
Project
- E1 (1)
Application Area
- E (1)
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.