Bid-Ask Spread Modelling, a Perturbation Approach

DOI10.1007/978-3-0348-0545-2_21zbMath1281.91200MaRDI QIDQ5746535

Thomas Lim, Vathana Ly Vath, Simone Scotti, Jean Michel Sahut

Publication date: 19 February 2014

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_21

zbMATH Keywords

optimal control problem; liquidity; bid-ask spread; order books; error theory using Dirichlet forms

Mathematics Subject Classification ID

60G15: Gaussian processes

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

91G80: Financial applications of other theories

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