Microfoundations for diffusion price processes
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Publication:1932534
DOI10.1007/s11579-010-0029-7zbMath1255.91441MaRDI QIDQ1932534
Publication date: 20 January 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-010-0029-7
91G70: Statistical methods; risk measures
91B70: Stochastic models in economics
91B16: Utility theory
60H30: Applications of stochastic analysis (to PDEs, etc.)
60F17: Functional limit theorems; invariance principles
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Cites Work
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- Price Manipulation and Quasi-Arbitrage
- Regularly varying functions