Dynamic Markov bridges and market microstructure. Theory and applications

DOI10.1007/978-1-4939-8835-8zbMATH Open1440.60005OpenAlexW2898152282MaRDI QIDQ4583286FDOQ4583286

Authors: Umut Cetin, Albina Danilova 

Publication date: 28 August 2018

Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-8835-8

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zbMATH Keywords

optimisationmartingaledefaultfinancial marketsMarkov bridgesinformational asymmetry

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Economics of information (91B44) Financial applications of other theories (91G80) Stochastic integral equations (60H20)

Cited In (3)

• Speeding up the Euler scheme for killed diffusions
• On Pricing Rules and Optimal Strategies in General Kyle--Back Models
• Linear inverse problems for Markov processes and their regularisation

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