53 citations · 68 across the 11 of their papers we have counts for
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q-fin.TR2012
A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization
Zhi Zheng, Richard B. Sowers
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solution…
math.PR2012
Stochastic Stefan Problems Driven By Standard Brownian Sheets
Zhi Zheng, Richard B. Sowers
In this paper we study the effect of stochastic perturbations on a common type of moving boundary value PDE's which endorse Stefan boundary conditions, or Stefan problems, and show…