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
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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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