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zbMath1195.60004MaRDI QIDQ3550818

Simone Scotti

Publication date: 6 April 2010

Full work available at URL: http://pastel.paristech.org/4501/

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Dirichlet form stochastic partial differential equation bid-ask spread financial model non-linear PDE error calculus carré du champ operator liquidity model

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (1)

Application of the lent particle method to Poisson-driven SDEs

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