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Open markets and hybrid Jacobi processes - MaRDI portal

Open markets and hybrid Jacobi processes

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Publication:6591589

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DOI10.1214/23-aap2030zbMath1542.9136MaRDI QIDQ6591589

Martin Larsson, David Itkin

Publication date: 22 August 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

Dirichlet forms stochastic portfolio theory boundary attainment Poisson-Dirichlet distribution robust finance growth optimality open markets

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10) Financial markets (91G15) Dirichlet form methods in Markov processes (60J46)

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