Dörte Kreher

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Second-Order Approximation of Limit Order Books in a Single-Scale Regime	2023-08-01	Paper
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model SIAM Journal on Financial Mathematics	2023-03-31	Paper
Red noise in continuous-time stochastic modelling	2022-12-07	Paper
Bubbles in discrete-time models Finance and Stochastics	2022-09-26	Paper
A cross-border market model with limited transmission capacities	2022-07-05	Paper
Jump diffusion approximation for the price dynamics of a fully state dependent limit order book model	2020-10-26	Paper
A diffusion approximation for limit order book models Stochastic Processes and their Applications	2019-11-27	Paper
Second order approximations for limit order books Finance and Stochastics	2018-10-08	Paper
A weak law of large numbers for a limit order book model with fully state dependent order dynamics SIAM Journal on Financial Mathematics	2017-06-02	Paper
Change of measure up to a random time: details Stochastic Processes and their Applications	2017-05-18	Paper
A new kind of augmentation of filtrations suitable for a change of probability measure by a strict local martingale Statistics & Probability Letters	2015-08-19	Paper
Strict local martingales and bubbles The Annals of Applied Probability	2015-07-27	Paper

Research outcomes over time

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