scientific article; zbMATH DE number 912563

MaRDI QIDQ4887222zbMATH OpenFDO

Authors Hans Föllmer

Publication date 1 August 1996

zbMATH Keywords

diffusion limitfinancial marketfluctuation of stock pricesMarkov chainsOrnstein-Uhlenbeck processesprobabilistic cellular automata

Mathematics Subject Classification ID

Economic growth models (91B62)

Recommendations

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Cited in

(6)

• Mean field games
• Large investor trading impacts on volatility
• Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
• Fluctuations of Recurrent Processes and Their Applications to the Stock Market
• Stock price fluctuation as a diffusion in a random environment
• Towards a self-consistent theory of volatility

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