Local times of ranked continuous semimartingales

DOI10.1016/j.spa.2007.08.001zbMath1147.60052OpenAlexW2030718593MaRDI QIDQ939396

Adrian D. Banner, Raouf Ghomrasni

Publication date: 22 August 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4561

zbMATH Keywords

order statisticslocal timesportfolioscontinuous semimartingalesportfolio generating functions

Mathematics Subject Classification ID

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Cites Work

• Atlas models of equity markets
• Généralisation d'un lemme de s. nakao et applications
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