Asset flow and momentum: deterministic and stochastic equations

DOI10.1098/rsta.1999.0421zbMath0935.91011OpenAlexW3124113351WikidataQ56116103 ScholiaQ56116103MaRDI QIDQ4719413

Gunduz Caginalp, D. Balenovich

Publication date: 4 January 2000

Published in: Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.1999.0421

zbMATH Keywords

stochastic equationsprice dynamicsmomentumliquiditymarket systemasset flownonlinear first-order ordinary differential equation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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