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Local times of ranked continuous semimartingales · Study

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ArticleLocal times of ranked continuous semimartingales

Adrian Banner2007

OA

Articlebronze2007

Local times of ranked continuous semimartingales

Adrian Banner · Raouf Ghomrasni

52 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2007Brownian Motion and Stochastic Calculus 2005Stochastic Integration and Differential Equations 1991Brownian motion and stochastic calculus 2002Stochastic Portfolio Theory 2005Atlas models of equity markets

Cited by

2012Convergence rates for rank-based models with applications to portfolio theory 2015Triple and simultaneous collisions of competing Brownian particles 2010On collisions of Brownian particles 2017Trading strategies generated by Lyapunov functions 2010On collisions of Brownian particles

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Year2007

Typearticle

Published2007-08-14

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations52

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2007.08.001

openalex_workW2030718593

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