Sticky processes, local and true martingales (Q1708983)

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scientific article
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Sticky processes, local and true martingales
scientific article

    Statements

    title
    Sticky processes, local and true martingales (English)
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    author
    Miklós Rásonyi
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    Hasanjan Sayit
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    published in
    Bernoulli
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    publication date
    27 March 2018
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    zbMATH Keywords
    consistent price systems
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    illiquid markets
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    martingales
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    processes with jumps
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    sticky processes
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    cites work
    Q3957682
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    Q2725601
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    Q3526647
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    Q4002114
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    Q5670045
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    Identifiers

    DOI
    10.3150/17-BEJ944
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    Mathematics Subject Classification ID
    60G40
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    60G44
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    60H30
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    91G20
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    zbMATH DE Number
    6853264
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    arXiv ID
    1509.08280
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    OpenAlex ID
    W3124261561
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