Large volatility-stabilized markets

DOI10.1016/j.spa.2012.09.001zbMath1288.60092arXiv1102.3461OpenAlexW2041965429MaRDI QIDQ1761492

Mykhaylo Shkolnikov

Publication date: 15 November 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.3461

zbMATH Keywords

hydrodynamic limitBessel processesinteracting diffusion processesdegenerate parabolic partial differential equationsvolatility-stabilized models

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (7)

Probability measure-valued polynomial diffusions ⋮ On a class of diverse market models ⋮ Modeling flocks and prices: jumping particles with an attractive interaction ⋮ A stock market model based on CAPM and market size ⋮ Polynomial processes in stochastic portfolio theory ⋮ Almost sure exponential stabilization by stochastic feedback control based on discrete-time observations ⋮ Capital distribution and portfolio performance in the mean-field Atlas model

This page was built for publication: Large volatility-stabilized markets