1 citations · 1 across the 1 of their papers we have counts for
2 papers
math.PR2018
A local large deviation principle for inhomogeneous birth-death processes
N. D. Vvedenskaya, A. V. Logachov, Y. M. Suhov +1
The paper considers a continuous-time birth-death process where the jump rate has an asymptotically polynomial dependence on the process position. We obtain a rough exponential asy…
math.PR2011★ 1 cited
A non-linear model of limit order book dynamics
N Vvedenskaya, Y Suhov, V Belitsky
This paper focuses on some simple models of limit order book dynamics which simulate market trading mechanisms. We start with a discrete time/space Markov process and then perform…