| 书目名称 | Dynamic Markov Bridges and Market Microstructure | | 副标题 | Theory and Applicati | | 编辑 | Umut Çetin,Albina Danilova | | 视频video | | | 概述 | Cutting-edge interdisciplinary research in the areas of applied statistics, mathematics, finance, and economics.First comprehensive text on using Dynamic Markov Bridges to study asymmetric information | | 丛书名称 | Probability Theory and Stochastic Modelling | | 图书封面 |  | | 描述 | This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory and real-world applications to drive home important concepts and methodologies. In Part I, theory is developed using tools from stochastic filtering, partial differential equations, Markov processes, and their interplay. Part II is devoted to the applications of the theory developed in Part I to asymmetric information models among financial agents, which include a strategic risk-neutral insider who possesses a private signal concerning the future value of the traded asset, non-strategic noise traders, and competitive risk-neutral market makers. A thorough analysis of optimality conditions for risk-neutral insiders is provided and the implications on equilibrium of non-Gaussian extensions are discussed..A Markov bridge, first considered by Paul Lévy in the context of Brownian motion, is a mathematical system that undergoeschanges in value from one state to another when the initial and final states are fixed. Markov bridges have many applications as stochastic models of real-world processes, especially within the areas of Economics and Finance. The construction of a Dynamic Markov Br | | 出版日期 | Book 2018 | | 关键词 | Asymmetric Information; Dynamic Markov Bridges; Markov Processes; Stochastic Filtering; Stochastic Proce | | 版次 | 1 | | doi | https://doi.org/10.1007/978-1-4939-8835-8 | | isbn_softcover | 978-1-4939-9399-4 | | isbn_ebook | 978-1-4939-8835-8Series ISSN 2199-3130 Series E-ISSN 2199-3149 | | issn_series | 2199-3130 | | copyright | Springer Science+Business Media, LLC, part of Springer Nature 2018 |
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发表于 2025-3-21 19:20:55
