Market forces and dynamic asset pricing
- Author
- PESKIR, G1 ; SHORISH, J2
[1] Department of Mathematical Sciences, University of Aarhus, Ny-Munkegade, 8000 Aarhus, Denmark
[2] Department of Economics and Finance, Institute for Advanced Studies, 1060 Vienna, Austria - Source
Stochastic analysis and applications. 2002, Vol 20, Num 5, pp 1027-1082, 56 p ; ref : 21 ref
- CODEN
- SAAPDA
- ISSN
- 0736-2994
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Taylor & Francis, Philadelphia, PA
- Publication country
- United States
- Document type
- Article
- Language
- English
- Keyword (fr)
- Analyse stochastique Approche probabiliste Contrôle optimal Contrôle stochastique Equation Bellman Equation Hamilton Jacobi Equilibre marché Jeu stochastique Modèle dynamique Mouvement brownien Mécanique classique Processus Lévy Processus Markov Structure marché Théorie Newton Approximation Smoluchowski Force marché Prix actifs financiers Processus Ornstein Uhlenbeck
- Keyword (en)
- Stochastic analysis Probabilistic approach Optimal control (mathematics) Stochastic control(mathematics) Bellman equation Hamilton Jacobi equation Market equilibrium Stochastic game Dynamic model Brownian motion Classical mechanics Lévy process Markov process Market structure Newton theory Smoluchowski approximation Market force Asset pricing Ornstein Uhlenbeck process
- Keyword (es)
- Análisis estocástico Enfoque probabilista Control óptimo (matemáticas) Control estocástico Ecuación Bellman Ecuación Hamilton Jacobi Equilibrio mercado Juego estocástico Modelo dinámico Movimiento browniano Mecánica clásica Proceso Lévy Proceso Markov Estructura mercado Teoría Newton
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A01 General
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A10 Portfolio theory
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D02 Computer science; control theory; systems / 001D02D Control theory. Systems / 001D02D08 Optimal control
- Discipline
- Computer science : theoretical automation and systems Mathematics Operational research. Management
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 14374496
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1081/SAP-120014553 
https://dx.doi.org/10.1081/SAP-120014553
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