A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics
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Publication:4958392
DOI10.1137/19M1254489zbMath1471.91530arXiv1904.03058WikidataQ114074258 ScholiaQ114074258MaRDI QIDQ4958392
Publication date: 8 September 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.03058
Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Financial markets (91G15)
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