Applications of the error theory using Dirichlet forms.

MaRDI QIDQ3550818zbMATH OpenFDO

Authors Simone Scotti

Publication date 6 April 2010

Full work available at URL http://pastel.paristech.org/4501/

zbMATH Keywords

bid-ask spreadcarré du champ operatorDirichlet formerror calculusfinancial modelliquidity modelnon-linear PDEstochastic partial differential equation

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cited in

(1)

• Application of the lent particle method to Poisson-driven SDEs

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