A branching particle approximation to a filtering micromovement model of asset price

DOI10.1007/s11203-011-9053-3zbMath1247.91192OpenAlexW2032798566MaRDI QIDQ453787

Yong Zeng, Jie Xiong

Publication date: 28 September 2012

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-011-9053-3

zbMATH Keywords

filteringstochastic partial differential equationparticle filterscounting processMonte Carlo approximationultra-high frequency data

Mathematics Subject Classification ID

Related Items (2)

Microstructure models with short-term inertia and stochastic volatility ⋮ Stability of the filter with Poisson observations

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