منابع مشابه
Excursions of the integral of the Brownian motion
The integrated Brownian motion is sometimes known as the Langevin process. Lachal studied several excursion laws induced by the latter. Here we follow a different point of view developed by Pitman for general stationary processes. We first construct a stationary Langevin process and then determine explicitly its stationary excursion measure. This is then used to provide new descriptions of Itô’...
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We study a parsimonious but non-trivial model of the latent limit order book where orders get placed with a fixed displacement from a center price process, i.e., some process between best bid and best ask, and get executed whenever this center price reaches their level. This mechanism corresponds to the fundamental solution of the stochastic heat equation with multiplicative noise for the relat...
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ژورنال
عنوان ژورنال: Arkiv för Matematik
سال: 1976
ISSN: 0004-2080
DOI: 10.1007/bf02385832