Asymptotic filter behavior for high-frequency expert opinions in a market with Gaussian drift

DOI10.1080/15326349.2020.1758567zbMath1467.91172arXiv1812.03453OpenAlexW3026622765MaRDI QIDQ4988558

Abdelali Gabih, Hakam Kondakji, Ralf Wunderlich

Publication date: 17 May 2021

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.03453

zbMATH Keywords

Ornstein-Uhlenbeck processKalman filterpartial informationBayesian updatingexpert opinionsBlack-Litterman model

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Functional limit theorems; invariance principles (60F17) Financial markets (91G15)

Related Items (2)

Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift ⋮ Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift

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