Filtering on a partially observed ultra-high-frequency data model
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Publication:2501130
DOI10.1007/s10440-006-9038-1zbMath1126.91029MaRDI QIDQ2501130
Publication date: 4 September 2006
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10440-006-9038-1
nonlinear filtering; financial markets; stochastic model; ultra-high-frequency data; Markov jumping processes
93E11: Filtering in stochastic control theory
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
Related Items
RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS, UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION, Minimal martingale measure: pricing and hedging in a pure jump model under restricted information, Stochastic control methods: Hedging in a market described by pure jump processes, A partially observed ultra-high-frequency data model: risk-minimizing hedging
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