1 citations · 1 across the 2 of their papers we have counts for
6 papers
Non-negative Martingale Solutions to the Stochastic Porous Medium Equation with Sticky Behavior
Ben Hambly, Dörte Kreher, Konstantins Starovoitovs
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 stic…
Second-Order Approximation of Limit Order Books in a Single-Scale Regime
Ulrich Horst, Dörte Kreher, Konstantins Starovoitovs
We establish a first- and second-order approximation for an infinite dimensional limit order book model in a single (critical) scaling regime where market and limit orders arrive a…
Bubbles in discrete time models
Martin Herdegen, Dörte Kreher
We introduce a new definition of speculative bubbles in discrete-time models based on the discounted stock price losing mass at some finite drop-down under an equivalent martingale…
Jump diffusion approximation for the price dynamics of a fully state dependent limit order book model
Dörte Kreher, Cassandra Milbradt
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, an…
Second order approximations for limit order books
Ulrich Horst, Dörte Kreher
In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on th…
A diffusion approximation for limit order book models
Ulrich Horst, Dörte Kreher
This paper derives a diffusion approximation for a sequence of discrete-time one-sided limit order book models with non-linear state dependent order arrival and cancellation dynami…