Enlightening
发表于 2025-3-21 19:20:55
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GORGE
发表于 2025-3-21 23:56:38
Stochastic Filteringwill bound them to infer the information of other players from their actions. To avoid the pathological cases this information ought to be contaminated, e.g. by noise trades. This corresponds to a stochastic filtering problem which we will formalise in this chapter.
languor
发表于 2025-3-22 01:21:31
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fiscal
发表于 2025-3-22 06:35:41
Dynamic Markov Bridges and Market Microstructure978-1-4939-8835-8Series ISSN 2199-3130 Series E-ISSN 2199-3149
会犯错误
发表于 2025-3-22 12:33:59
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Harbor
发表于 2025-3-22 14:43:37
Jaya R. Soneji,Madhugiri Nageswara Raodvance but revealed via an observation of a related process. We will call such a process dynamic Markov bridge. We provide conditions under which such a process exists as a unique solution of an SDE. This construction will be fundamental in solving the Kyle–Back models considered in the second part of the book.
Harbor
发表于 2025-3-22 18:20:08
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毛细血管
发表于 2025-3-23 01:04:06
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奇思怪想
发表于 2025-3-23 02:24:01
Jaya R. Soneji,Madhugiri Nageswara RaoThis chapter introduces the setup for the equilibrium models that extends, among others, the works of Kyle and Back. It also contains some key results that will be relevant for the characterisation of the equilibrium. Finally the equilibrium will be derived and discussed in Chaps. . and ..
Regurgitation
发表于 2025-3-23 08:28:06
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