Dynamic Markov Bridges and Market Microstructure Theory and Applications /

• Main Authors: Çetin, Umut (Author, http://id.loc.gov/vocabulary/relators/aut), Danilova, Albina (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: Probability Theory and Stochastic Modelling, 90
• Subjects: Probabilities.; Economics, Mathematical .; Statistics .; Probability Theory and Stochastic Processes.; Quantitative Finance.; Statistics for Business, Management, Economics, Finance, Insurance.

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,...