Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift
DOI10.1080/15326349.2022.2100423zbMath1516.91060OpenAlexW4291493275WikidataQ114098433 ScholiaQ114098433MaRDI QIDQ6044277
Jörn Sass, Dorothee Westphal, Ralf Wunderlich
Publication date: 17 May 2023
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2022.2100423
Ornstein-Uhlenbeck processportfolio optimizationdiffusion approximationspartial informationKalman-Bucy filterexpert opinions
Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Portfolio theory (91G10) (L^p)-limit theorems (60F25) Financial markets (91G15)
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