Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift (Q4964789)
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scientific article; zbMATH DE number 7317342
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift |
scientific article; zbMATH DE number 7317342 |
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Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift (English)
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3 March 2021
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diffusion approximations
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Kalman filter
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Ornstein-Uhlenbeck process
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expert opinions
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portfolio optimization
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partial information
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