J
J. Michael Harrison
Researcher at Stanford University
Publications - 87
Citations - 16248
J. Michael Harrison is an academic researcher from Stanford University. The author has contributed to research in topics: Queueing theory & Heavy traffic approximation. The author has an hindex of 45, co-authored 86 publications receiving 15644 citations. Previous affiliations of J. Michael Harrison include University of Florida & University of Bristol.
Papers
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Martingales and arbitrage in multiperiod securities markets
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Martingales and stochastic integrals in the theory of continuous trading
TL;DR: In this paper, a general stochastic model of a frictionless security market with continuous trading is developed, where the vector price process is given by a semimartingale of a certain class, and the general Stochastic integral is used to represent capital gains.
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Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
TL;DR: In this paper, the authors consider a common stock that pays dividends at a discrete sequence of future times: t = 1,2, taking all other prices and the random process that determines future dividends as exogenously given, they can ask what will be the price ofthe stock?
Book
Brownian motion and stochastic flow systems
TL;DR: Brownian Motion as discussed by the authors : Brownian Motion is a model of buffered flow, and it can be used to control flow system performance, as shown in Fig. 1 : Optimal Control of Brownain Motion.
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A stochastic calculus model of continuous trading: Complete markets
TL;DR: In this article, it was shown that the model is complete if and only if there exists a unique martingale measure, i.e., the model can be represented as a stochastic integral with respect to the discounted price process.