678 citations · 994 across the 24 of their papers we have counts for
4 papers · 1 filter
A framework for the modeling of order book dynamics based on event sizes
Kaj Nyström, Sidi Mohamed Ould Aly
We propose a modeling framework for the dynamics of a reduced form order book in event time and based on event sizes. Our framework for the order book is influenced by [9], but com…
Systems of variational inequalities for non-local operators related to optimal switching problems: Existence and uniqueness
Niklas L. P. LundstrÖm, Kaj NystrÖm, Marcus Olofsson
In this paper we study a system of variational inequalities where the operator is non-local, possibly degenerate and of second order. A special case of this type of problem occurs…
Harnack estimates for degenerate parabolic equations modeled on the subelliptic p-Laplacian
Benny Avelin, Luca Capogna, Giovanna Citti +1
We establish a Harnack inequality for a class of quasi-linear PDE modeled on the prototype {equation*} \partial_tu= -\sum_{i=1}^{m}X_i^\ast (|\X u|^{p-2} X_i u){equation*} where $p…
Cauchy integrals for the p-Laplace equation in planar Lipschitz domains
Kaj Nyström, Andreas Rosén
We construct solutions to p-Laplace type equations in unbounded Lipschitz domains in the plane with prescribed boundary data in appropriate fractional Sobolev spaces. Our approach…