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An infinite-dimensional model of liquidity in financial markets - MaRDI portal

An infinite-dimensional model of liquidity in financial markets (Q2241898)

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An infinite-dimensional model of liquidity in financial markets
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    title
    An infinite-dimensional model of liquidity in financial markets (English)
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    author
    Henry Schellhorn
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    Ran Zhao
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    Sergey V. Lototsky
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    publication date
    9 November 2021
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    zbMATH Keywords
    liquidity modeling
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    Brownian sheet
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    Itô-Wentzell formula
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    no-arbitrage condition
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    stochastic partial differential equations
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    cites work
    Q5263525
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    Q3605397
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    Q3747436
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    Q4247243
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    Q3128639
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    Q4435813
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    Q3425601
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    Identifiers

    Mathematics Subject Classification ID
    91G15
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    60H15
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    60J70
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    91G20
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    91G60
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    zbMATH DE Number
    7422657
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    OpenAlex ID
    W3173997245
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    DOI
    10.3934/PUQR.2021006
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