A recursive robust Bayesian estimation in partially observed financial market

DOI10.4064/am34-2-8zbMath1118.62088OpenAlexW2075085022MaRDI QIDQ5295060

Jianhui Huang

Publication date: 26 July 2007

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am34-2-8

zbMATH Keywords

incomplete informationlatent statepartial observationgauge transformasset valueportfolio allocation, stochastic volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Signal detection and filtering (aspects of stochastic processes) (60G35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

This page was built for publication: A recursive robust Bayesian estimation in partially observed financial market