MARKET FORCES AND DYNAMIC ASSET PRICING

DOI10.1081/SAP-120014553zbMath1039.91018MaRDI QIDQ4797323

Jamsheed Shorish, Goran Peskir

Publication date: 2002

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Brownian motion; asset pricing; optimal stochastic control; inertial frame of reference; market forces; financial market microstructure; accelerated frame of reference; Newton's laws of mechanics; specialist-investor equilibrium

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60J65: Brownian motion

91B24: Microeconomic theory (price theory and economic markets)

93E20: Optimal stochastic control

60J60: Diffusion processes

91A15: Stochastic games, stochastic differential games

91B50: General equilibrium theory

Related Items

Risk minimizing portfolios and HJBI equations for stochastic differential games

Cites Work

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