Multidimensional Stochastic Processes as Rough Paths: Markov processes

@inproceedings{Friz2010MultidimensionalSP,
  title={Multidimensional Stochastic Processes as Rough Paths: Markov processes},
  author={Peter K. Friz and Nicolas Victoir},
  year={2010}
}
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77 Citations
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42
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77 Citations

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A mathematical model of an order driven market where traders can submit limit orders and market orders to buy and sell securities is constructed and the notion of no free lunch of Harrison and Kreps and Jouini and Kallal is adapted and a no-arbitrage theorem is proved.
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