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 spreadstochastic partial differential equationDirichlet formfinancial modelnon-linear PDEerror calculusliquidity modelcarré du champ operator

Mathematics Subject Classification ID

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

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Cited in

(1)

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

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