Research papers
Kolliopoulos, Nikolaos; Sanchez, David; Xiao, Amy. Large-population asymptotics for the maximum of diffusive particles with mean-field interaction in the noises. Accepted in Statistics and Probability Letters. Click here for ArXiv preprint (2023).
Kolliopoulos, Nikolaos; Larsson, Martin and Zhang, Zeyu. Propagation of chaos for point processes induced by particle systems with mean-field drift interaction. Submitted for publication. Click here for ArXiv preprint (2023).
Hambly, Ben and Kolliopoulos, Nikolaos. Stochastic PDEs for large portfolios with general mean-reverting volatility processes. Accepted in Probability, Uncertainty and Quantitative Risk (2024). Click here for ArXiv preprint (2019).
Kolliopoulos, Nikolaos; Larsson, Martin and Zhang, Zeyu. Propagation of chaos for maxima of particle systems with mean-field drift interaction. Probability Theory and Related Fields, Vol 187, pp. 1093-1127 (2023). Click here for ArXiv preprint (2022).
Jiao, Ying and Kolliopoulos, Nikolaos. Well-posedness of a system of SDEs driven by jump random measures. Stochastics and Dynamics, Vol 23 (No. 4) (2023). Click here for ArXiv preprint (2021).
Hambly, Ben and Kolliopoulos, Nikolaos. Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. Finance and Stochastics, Vol 24 (Issue 3), pp. 757–794 (38 pages) (2020). Click here for published version (open access)
Hambly, Ben and Kolliopoulos, Nikolaos. Stochastic Evolution Equations for large portfolios of Stochastic Volatility models. SIAM Journal on Financial Mathematics, Vol. 8 (Issue 1), pp. 962-1014 (53 pages) (2017). See also erratum below. Click here for ArXiv preprint.
Hambly, Ben and Kolliopoulos, Nikolaos. Erratum: Stochastic Evolution Equations for large portfolios of Stochastic Volatility models. SIAM Journal on Financial Mathematics, Vol. 10 (Issue 3), pp. 857–876 (20 pages) (2019). Click here for ArXiv preprint.
Kolliopoulos, Nikolaos. On the extreme value distributions of diffusive processes. Working paper (some strong results have already been obtained).