12 citations · 45 across the 31 of their papers we have counts for
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math.AP2013★ 4 cited
Scalar conservation laws with rough (stochastic) fluxes
Pierre-Louis Lions, Benoit Perthame, Panagiotis E. Souganidis
We develop a pathwise theory for scalar conservation laws with quasilinear multiplicative rough path dependence, a special case being stochastic conservation laws with quasilinear…
q-fin.TR2013
Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis
Aimé Lachapelle, Jean-Michel Lasry, Charles-Albert Lehalle +1
This paper deals with a stochastic order-driven market model with waiting costs, for order books with heterogenous traders. Offer and demand of liquidity drives price formation and…