The multi-dimensional stochastic Stefan financial model for a portfolio of assets

DOI10.3934/dcdsb.2021118zbMath1483.91211arXiv2012.13432OpenAlexW3158744220MaRDI QIDQ2120321

Georgia Karali, Marina Bitsaki, Dimitra Antonopoulou

Publication date: 31 March 2022

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.13432

zbMATH Keywords

stochastic volatilitymoving boundary problemfinancial modellimit order booksmulti-D stochastic Stefan problemportfolios managementspreads dynamics

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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