4 citations · 5 across the 5 of their papers we have counts for
5 papers
Birth and Death Processes in Interactive Random Environments
Guodong Pang, Andrey Sarantsev, Yuri Suhov
This paper studies birth and death processes in interactive random environments where the birth and death rates and the dynamics of the state of the environment are dependent on ea…
A large deviations principle for birth-death processes with a linear rate of downward jumps
N. D. Vvedenskaya, A. V. Logachov, Y. M. Suhov +1
Birth-death processes form a natural class where ideas and results on large deviations can be tested. In this paper, we derive a large deviation principle under the assumption that…
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…
A non-linear model of trading mechanism on a financial market
N. Vvedenskaya, Y. Suhov, V. Belitsky
We introduce a prototype model in an attempt to capture some aspects of market dynamics simulating a trading mechanism. The model description starts with a discrete-space, continuo…
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…