Conditional distributions, exchangeable particle systems, and stochastic partial differential equations (Q405502): Difference between revisions
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The authors study stochastic partial differential equations whose solutions are probability-measure-valued processes. Measure-valued processes of this type arise naturally as de Finetti measures of infinite exchangeable systems of particles and as the solutions for filtering problems. In the present paper, the authors consider a financial model of asset pricing with an infinite collection of competing traders. Each trader's valuation of the assets is modeled by an SDE, and the infinite system of exchangeable SDEs is coupled through a common noise process and through the asset prices. The solution of the system can be interpreted as the conditional distribution of the solution of a single SDE given the common noise and the price process. Under certain assumptions, this conditional distribution is proved to be absolutely continuous with respect to Lebesgue measure with a strictly positive density. | |||
Property / review text: The authors study stochastic partial differential equations whose solutions are probability-measure-valued processes. Measure-valued processes of this type arise naturally as de Finetti measures of infinite exchangeable systems of particles and as the solutions for filtering problems. In the present paper, the authors consider a financial model of asset pricing with an infinite collection of competing traders. Each trader's valuation of the assets is modeled by an SDE, and the infinite system of exchangeable SDEs is coupled through a common noise process and through the asset prices. The solution of the system can be interpreted as the conditional distribution of the solution of a single SDE given the common noise and the price process. Under certain assumptions, this conditional distribution is proved to be absolutely continuous with respect to Lebesgue measure with a strictly positive density. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Dora Seleši / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H15 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G09 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G35 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B26 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6340414 / rank | |||
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Property / zbMATH Keywords | |||
stochastic partial differential equations | |||
Property / zbMATH Keywords: stochastic partial differential equations / rank | |||
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Property / zbMATH Keywords | |||
exchangeable systems | |||
Property / zbMATH Keywords: exchangeable systems / rank | |||
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conditional distributions | |||
Property / zbMATH Keywords: conditional distributions / rank | |||
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quantile processes | |||
Property / zbMATH Keywords: quantile processes / rank | |||
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filtering equations | |||
Property / zbMATH Keywords: filtering equations / rank | |||
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measure-valued processes | |||
Property / zbMATH Keywords: measure-valued processes / rank | |||
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auction based pricing | |||
Property / zbMATH Keywords: auction based pricing / rank | |||
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assignment games | |||
Property / zbMATH Keywords: assignment games / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / cites work | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 00:54, 9 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Conditional distributions, exchangeable particle systems, and stochastic partial differential equations |
scientific article |
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Conditional distributions, exchangeable particle systems, and stochastic partial differential equations (English)
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5 September 2014
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The authors study stochastic partial differential equations whose solutions are probability-measure-valued processes. Measure-valued processes of this type arise naturally as de Finetti measures of infinite exchangeable systems of particles and as the solutions for filtering problems. In the present paper, the authors consider a financial model of asset pricing with an infinite collection of competing traders. Each trader's valuation of the assets is modeled by an SDE, and the infinite system of exchangeable SDEs is coupled through a common noise process and through the asset prices. The solution of the system can be interpreted as the conditional distribution of the solution of a single SDE given the common noise and the price process. Under certain assumptions, this conditional distribution is proved to be absolutely continuous with respect to Lebesgue measure with a strictly positive density.
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stochastic partial differential equations
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exchangeable systems
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conditional distributions
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quantile processes
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filtering equations
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measure-valued processes
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auction based pricing
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assignment games
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