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Article Dans Une Revue SIAM Journal on Financial Mathematics Année : 2017

Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework

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hal-03940141 , version 1 (15-01-2023)

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Weibing Huang, Mathieu Rosenbaum. Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework. SIAM Journal on Financial Mathematics, 2017, 8 (1), pp.874-900. ⟨10.1137/16M1064337⟩. ⟨hal-03940141⟩
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