Analysis of market weights under volatility-stabilized market models

DOI10.1214/10-AAP725zbMath1225.60136arXiv0904.0656MaRDI QIDQ549872

Soumik Pal

Publication date: 19 July 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.0656

zbMATH Keywords

stochastic differential equation; diffusion process; Wright-Fisher diffusion; Fleming-Viot diffusion; Bessel-square process; market weights; volatility-stabilized market model

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

91B26: Auctions, bargaining, bidding and selling, and other market models

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

60J35: Transition functions, generators and resolvents

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