Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models

DOI10.1016/J.NA.2004.07.052MaRDI QIDQ707219zbMATH OpenOpenAlexFDO

Authors Michael A. Kouritzin, Yong Zeng

Publication date 9 February 2005

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.na.2004.07.052

zbMATH Keywords

Counting processesFilteringConditional expectations

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Bayesian problems; characterization of Bayes procedures (62C10)

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Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
• BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
• Bayes Factors
• Convergence in distribution of conditional expectations
• Convergence results for conditional expectations
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(6)

• Residual and stratified branching particle filters
• Microstructure models with short-term inertia and stochastic volatility
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection
• A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs
• Explicit Heston solutions and stochastic approximation for path-dependent option pricing

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