搜索结果: 1-5 共查到“经济学 bridges”相关记录5条 . 查询时间(0.033 秒)
Point process bridges and weak convergence of insider trading models
point process bridge Glosten-Milgrom model Kyle model insider trading equilibrium weak convergence
2012/6/5
We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time 1 value sati...
Generalized Gaussian Bridges
Canonical representation enlargement of filtration fractional Brownian motion Gaussian process Gaussian bridge Hitsuda representation
2012/6/5
A generalized bridge is the law of a stochastic process that is conditioned on linear functionals of its path. We consider two types of representations of such bridges: orthogonal and canonical. In th...
Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving
Stochastic reserving Bayesian updating information-based asset pricing
2010/10/20
We develop a non-life reserving model using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an arbitrary choice of a priori distribution for the ultimate loss. Tak...
Levy Random Bridges and the Modelling of Financial Information
Levy Random Bridges Modelling of Financial Information
2010/11/3
The information-based asset-pricing framework of Brody, Hughston and Mac-rina (BHM) is extended to include a wider class of models for market information.In the BHM framework, each asset is associated...
On generating Monte Carlo samples of continuous diffusion bridges
Stochastic diffusion equation, Sequential Monte Carlo, Resampling, Priority score, Backward pilot
2011/4/2
Diffusion processes are widely used in engineering, fiance, physics and other fields. Usually continuous time diffusion processes are only observable at discrete time points. For many applications, it...