A continuous time financial market with a Poisson process as transaction timer

DOI10.1023/A:1014566730969zbMath1147.91322OpenAlexW160186078MaRDI QIDQ1599364

Xue-Lei Zhao, Lan-Jun Lao, Sergio A. Albeverio

Publication date: 9 June 2002

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1014566730969

zbMATH Keywords

Monte Carlo simulationsPoisson point processestransaction costsutility functionsportfolio management

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

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