A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics. - Ulrich Horst; Dörte Kreher (SIAM J. Financial Math., 2017)

Second order approximations for limit order books. - Ulrich Horst; Dörte Kreher (Finance Stochastics, 2018)

Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model. - Dörte Kreher; Cassandra Milbradt (SIAM J. Financial Math., 2023)