Dörte Kreher

Publication Activity (10 Years)

Years Active: 2017-2023
Publications (10 Years): 3

Top Topics

Queueing Networks

Operating System

State Dependent

Probability Distribution

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Publications

Dörte Kreher, Cassandra Milbradt
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model. SIAM J. Financial Math. 14 (1) (2023)
Ulrich Horst, Dörte Kreher
Second order approximations for limit order books. Finance Stochastics 22 (4) (2018)
Ulrich Horst, Dörte Kreher
A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics. SIAM J. Financial Math. 8 (1) (2017)