Stock price fluctuation as a diffusion in a random environment
- 15 June 1994
- journal article
- Published by The Royal Society in Philosophical Transactions A
- Vol. 347 (1684) , 471-483
- https://doi.org/10.1098/rsta.1994.0057
Abstract
The fluctuation of stock prices is modelled as a sequence of temporary equilibria on a financial market with different types of agents. I summarize joint work with M. Schweizer on the class of Ornstein-Uhlenbeck processes in a random environment which appears in the diffusion limit. Moreover, it is shown how the random environment may be generated by the interaction of a large set of agents modelled by Markov chains as they appear in the theory of probabilistic cellular automata.Keywords
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