Titlebook: Dynamic Markov Bridges and Market Microstructure; Theory and Applicati Umut ?etin,Albina Danilova Book 2018 Springer Science+Business Media

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Probability Theory and Stochastic Modellinghttp://image.papertrans.cn/e/image/283639.jpg

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https://doi.org/10.1007/978-1-4939-8835-8Asymmetric Information; Dynamic Markov Bridges; Markov Processes; Stochastic Filtering; Stochastic Proce

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Stochastic Filteringwill bound them to infer the information of other players from their actions. To avoid the pathological cases this information ought to be contaminated, e.g. by noise trades. This corresponds to a stochastic filtering problem which we will formalise in this chapter.

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Dynamic Bridgesdvance but revealed via an observation of a related process. We will call such a process dynamic Markov bridge. We provide conditions under which such a process exists as a unique solution of an SDE. This construction will be fundamental in solving the Kyle–Back models considered in the second part of the book.

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enterprise

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Book 2018 mathematical system that undergoeschanges in value from one state to another when the initial and final states are fixed. Markov bridges have many applications as?stochastic models of real-world processes, especially within the areas of Economics and Finance. The construction of a Dynamic Markov Br