The Mean Field Market Model Revisited

arXiv2402.10215MaRDI QIDQ6522006

Stefan Thonhauser, Wolfgang Müller, Manuel Hasenbichler

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

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