Filtering on a partially observed ultra-high-frequency data model

DOI10.1007/S10440-006-9038-1zbMath1126.91029OpenAlexW2095110520MaRDI QIDQ2501130

Anna Gerardi, Paola Tardelli

Publication date: 4 September 2006

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-006-9038-1

zbMATH Keywords

nonlinear filteringfinancial marketsstochastic modelultra-high-frequency dataMarkov jumping processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS ⋮ RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR ⋮ Minimal martingale measure: pricing and hedging in a pure jump model under restricted information ⋮ UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION ⋮ A partially observed ultra-high-frequency data model: risk-minimizing hedging ⋮ Stochastic control methods: Hedging in a market described by pure jump processes

Cites Work

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• A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
• On the unnormalized solution of the filtering problem with counting process observations
• Counting observations: A note on state estimation sensitivity with an \(L^1\)-bound
• Nonlinear filtering equation of a jump process with counting observations

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