Analysis of market weights under volatility-stabilized market models

DOI10.1214/10-AAP725zbMath1225.60136arXiv0904.0656OpenAlexW3102332753MaRDI 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 equationdiffusion processWright-Fisher diffusionFleming-Viot diffusionBessel-square processmarket weightsvolatility-stabilized market model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Transition functions, generators and resolvents (60J35)

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