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

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Authors: Weibing Huang, Mathieu Rosenbaum

Journal title: SIAM Journal on Financial Mathematics

Journal number: 8/1

Journal publisher: Society for Industrial and Applied Mathematics Publications

Published year: 2017

Published pages: 874-900

DOI identifier: 10.1137/16m1064337

ISSN: 1945-497X