The analysis of finite security markets using martingales
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Publication:4727935
DOI10.2307/1427371zbMath0618.60047OpenAlexW1995212834MaRDI QIDQ4727935
Murad S. Taqqu, Walter Willinger
Publication date: 1987
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/1813/8521
change of measureextremal measurescomplete marketseconomic equilibriummartingale propertyfinite security markets
Linear programming (90C05) Martingales with continuous parameter (60G44) Stochastic processes (60G99) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
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