THE SQUARED ORNSTEIN‐UHLENBECK MARKET

DOI10.1111/j.0960-1627.2004.00202.xzbMath1139.91323OpenAlexW3124596818MaRDI QIDQ4673668

John Aquilina, L. C. G. Rogers

Publication date: 9 May 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00202.x

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26)

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