05.11.2018 14:15 Thorsten Rheinländer :
On the stochastic heat equation with mutiplicative noiseBC1 2.02.01 (Parkring 11, 85748 Garching)

We study a parsimonious but non-trivial model of the latent limit order book where orders get placed with a fixed displacement from a center price process, i.e. some process in-between best bid and best ask, and get executed whenever this center price reaches their level. This mechanism corresponds to the fundamental solution of the stochastic heat equation with multiplicative noise for the relative order volume distribution, for which we provide a solution via a local time functional. Moreover, we classify various types of trades, and introduce the trading excursion process which is a Poisson point process. This allows to derive the Laplace transforms of the times to various trading events under the corresponding intensity measure.