Dynamic Markov Bridges and Market Microstructure

DOI10.1007/978-1-4939-8835-8zbMath1440.60005OpenAlexW2898152282MaRDI QIDQ4583286

Albina Danilova, Umut Çetin

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

zbMATH Keywords

defaultmartingalefinancial marketsoptimisationMarkov 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) Financial applications of other theories (91G80) Economics of information (91B44) Stochastic integral equations (60H20) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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