Analysis of market weights under volatility-stabilized market models
DOI10.1214/10-AAP725zbMath1225.60136arXiv0904.0656MaRDI QIDQ549872
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
stochastic differential equation; diffusion process; Wright-Fisher diffusion; Fleming-Viot diffusion; Bessel-square process; market weights; volatility-stabilized market model
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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