Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models

DOI10.1016/j.na.2004.07.052zbMath1058.62094OpenAlexW2053047727MaRDI QIDQ707219

Michael A. Kouritzin, Yong Zeng

Publication date: 9 February 2005

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2004.07.052

zbMATH Keywords

Counting processesFilteringConditional expectations

Mathematics Subject Classification ID

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Cites Work

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• Weak limit theorems for stochastic integrals and stochastic differential equations
• Convergence in distribution of conditional expectations
• Convergence results for conditional expectations
• BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
• A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
• Bayes Factors

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