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,...

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Bibliographic Details
Main Author: Çetin, Umut (Author)
Format: Electronic eBook
Language:English
Published: New York, NY : Springer New York , 2018.
Edition:1st ed. 2018.
Series:Probability Theory and Stochastic Modelling, 90
Subjects:
Probabilities.
Economics, Mathematical .
Statistics .
ISBN:9781493988358
ISSN:2199-3130 ;
Online Access: Get full text
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Table of Contents:
  • Markov processes
  • Stochastic Differential Equations and Martingale Problems
  • Stochastic Filtering
  • Static Markov Bridges and Enlargement of Filtrations
  • Dynamic Bridges
  • Financial markets with informational asymmetries and equilibrium
  • Kyle-Back model with dynamic information: no default case
  • Appendix A.

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