On a stochastic differential equation arising in a price impact model (Q1940246): Difference between revisions
From MaRDI portal
Created a new Item |
Normalize DOI. |
||
| (5 intermediate revisions by 5 users not shown) | |||
| Property / DOI | |||
| Property / DOI: 10.1016/j.spa.2012.10.011 / rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1772288047 / rank | |||
Normal rank | |||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q115341150 / rank | |||
Normal rank | |||
| Property / arXiv ID | |||
| Property / arXiv ID: 1110.3250 / rank | |||
Normal rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.SPA.2012.10.011 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 14:17, 16 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a stochastic differential equation arising in a price impact model |
scientific article |
Statements
On a stochastic differential equation arising in a price impact model (English)
0 references
6 March 2013
0 references
Clark-Ocone formula
0 references
large investor
0 references
Malliavin derivative
0 references
Pareto allocation
0 references
price impact
0 references
Sobolev embedding
0 references
stochastic differential equation
0 references
