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On limit distribution of the Hurwitz zeta-function

100%

Laurinčikas A.

Open Mathematics

2010

tom 8

nr 4

786-794

The distribution of the vector (|ζ(s, α)|; ζ(s, α)), where ζ(s, α) is the Hurwitz zeta-function with transcendental parameter α, is considered and a probabilistic limit theorem is obtained. Also, the dependence between |ζ(s, α)| and ζ(s, α) in terms of m-characteristic transforms is discussed.

Limiting distribution for a simple model of order book dynamics

75%

Kruk Ł.

Open Mathematics

2012

tom 10

nr 6

2283-2295

A continuous-time model for the limit order book dynamics is considered. The set of outstanding limit orders is modeled as a pair of random counting measures and the limiting distribution of this pair of measure-valued processes is obtained under suitable conditions on the model parameters. The limiting behavior of the bid-ask spread and the midpoint of the bid-ask interval are also characterized.

Ograniczanie wyników

2 Open Mathematics

1 Kruk Ł.

1 Laurinčikas A.

1 2012

1 2010

Wyniki wyszukiwania

On limit distribution of the Hurwitz zeta-function

Limiting distribution for a simple model of order book dynamics