Stochastic modelling with randomized Markov bridges

DOI10.1142/9789811246494_0014zbMath1494.60039OpenAlexW4214581231MaRDI QIDQ5072627

Jun Sekine, Andrea Macrina

Publication date: 29 April 2022

Published in: Financial Informatics (Search for Journal in Brave)

Full work available at URL: https://discovery.ucl.ac.uk/id/eprint/10088903/

zbMATH Keywords

filteringcommodity pricinggreenhouse gas emissionclimate risk managementhidden random variablerandomized Markov bridgeskew-normal randomized diffusion

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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