A Continuous Time Financial Market with a Poisson Process as Transaction Timer.

Sergio Albeverio Lan-Jun Lao Xue-Lei Zhao

Published in: Adv. Comput. Math. (2002)

Keyphrases

poisson process
financial markets
markov modulated
poisson processes
arrival rate
stock market
stock price
brownian motion
markov chain
optimal control
risk management
lead time
fractional brownian motion
gaussian process
steady state
dynamical systems
inventory level
historical data
feature selection
trading systems