Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model

DOI10.1137/20M1380922MaRDI QIDQ5886357

Cassandra Milbradt, Dörte Kreher

Publication date: 31 March 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.13497

zbMATH Keywords

market microstructurejump diffusionlimit order bookhigh-frequency limitsemimartingale convergence

Mathematics Subject Classification ID

Financial markets (91G15) Jump processes on discrete state spaces (60J74)

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