A Limit Theorem for Financial Markets with Inert Investors

DOI10.1287/moor.1060.0202zbMath1276.91055arXivmath/0703831OpenAlexW2129894886MaRDI QIDQ5388010

Ulrich Horst, Ronnie Sircar, Erhan Bayraktar

Publication date: 27 May 2008

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703831

zbMATH Keywords

functional central limit theoremfractional Brownian motionsemi-Markov processesmarket microstructureinvestor inertia

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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