Some mathematical aspects of market impact modeling

DOI10.4171/072-1/8zbMath1235.60084OpenAlexW4234241811MaRDI QIDQ3099673

Alla Slynko, Alexander Schied

Publication date: 1 December 2011

Published in: EMS Series of Congress Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4171/072-1/8

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Linear systems in control theory (93C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic integrals (60H05) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

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