1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2024
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…
q-fin.MF2023★ 1 cited
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…