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Dynamic Markov bridges and market microstructure: theory and applications
This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory and real-world applications to drive home important concepts and methodologies. In Part I, theory is developed using tools from stochastic filtering, partial differential equations, Markov processes,...
| Autores principales: | , |
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| Lenguaje: | eng |
| Publicado: |
Springer
2018
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| Acceso en línea: | https://dx.doi.org/10.1007/978-1-4939-8835-8 http://cds.cern.ch/record/2647171 |