Abstract
In this chapter we briefly describe the basic concepts of stochastic market models. Further, we introduce a multystock stochastic continuous-time market model that will be used in the following chapters, and we give some necessary definitions.
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© 2002 Kluwer Academic Publishers
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Dokuchaev, N. (2002). Stochastic Market Model. In: Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information. International Series in Operations Research & Management Science, vol 47. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-0921-9_1
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DOI: https://doi.org/10.1007/978-1-4615-0921-9_1
Publisher Name: Springer, Boston, MA
Print ISBN: 978-0-7923-7648-4
Online ISBN: 978-1-4615-0921-9
eBook Packages: Springer Book Archive