Stock price fluctuation as a diffusion in a random environment

DOI10.1098/RSTA.1994.0057MaRDI QIDQ4698067zbMATH OpenOpenAlexFDO

Authors Hans Föllmer

Publication date 14 May 1995

Published in Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1098/rsta.1994.0057

zbMATH Keywords

different types of agentsdiffusionfinancial marketfluctuation of stock pricesMarkov chainsprobabilistic cellular automatasequence of temporary equilibria

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

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• Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
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• Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
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