论文标题
泊松限制书籍模型的扩散极限
Diffusion Limit of Poisson Limit-Order Book Models
论文作者
论文摘要
这本书几乎是列霍克基，什里夫＆yu \ cite {alsy}的伴侣，其中详细介绍了研究泊松限制书籍模型的扩散限制的基本原理，并详细介绍了特定“代表性”模型的结果。本文包含该工作中引用的证据和技术细节。
This ia a companion paper to Almost, Lehoczky, Shreve & Yu \cite{ALSY}, where the rationale for studying the diffusion limit of Poisson limit-order book models is explained and the results of a particular "representative" model are detailed. This paper contains the proofs and technical details cited in that work.
