Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Starovoitovs, Konstantins"'
We construct non-negative martingale solutions to the stochastic porous medium equation in one dimension with homogeneous Dirichlet boundary conditions which exhibit a type of sticky behavior at zero. The construction uses the stochastic Faedo--Galer
Externí odkaz:
http://arxiv.org/abs/2411.05924
We establish a first and second-order approximation for an infinite dimensional limit order book model (LOB) in a single (''critical'') scaling regime where market and limit orders arrive at a common time scale. With our choice of scaling we obtain n
Externí odkaz:
http://arxiv.org/abs/2308.00805