A filtration is all increasing family of slub sigma-fields of jr; filtration generated by a Poisson process corresponds to a martingale multiplicity of one

1. Theory of Valuation: Frontiers of Modern Financial Theory - 第 112 頁 - Google 圖書結果

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   Sudipto Bhattacharya, ‎George M. Constantinides - 1989 - ‎Business & Economics

   It is also known that the filtration generated by a Poisson process corresponds to a martingale multiplicity of one [11]. 7. ... 112 | Darrell Duffle and Chi-fu Huang.

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2. A Model of Competitive Stock Trading Volume Jiang Wang - MIT

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4. 由 J Wang 著作 - ‎1994 - ‎被引用 717 次 - ‎相關文章
5. I thank Andrew Alford, Bruce Grundy, Chi-fu Huang, Paul Pfleiderer, and Deborah. Lucas and ..... of unobserved state variables is a linear filtering problem.

1. Utility duality under additional information: conditional measures ...

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4. 由 S Ankirchner 著作 - ‎2005 - ‎相關文章
5. Duffie, Darrell & Huang, Chi-fu, 1986. "Multiperiod ... Please note that corrections may take a couple of weeks to filter through the various RePEc services.

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2. OPTIMAL CONSUMPTION AND PORTFOLIO POLICIES ... - Index of

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4. 由 JC Cox 著作 - ‎1986 - ‎被引用 1235 次 - ‎相關文章
5. John C. Cox and Chi-fu Huang. Massachusetts Institute of .... be the filtration generated by w. (A filtration is all increasing family of slub sigma-fields of jr).

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2. Research Program in Finance t WOKiN - Haas School of Business ...

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5. We thank Chi—{u Huang for many helpful conversations, and thank Chi-fu ..... and the family of a-fields F m {kt = D, 1,. . . ,T} is called the filtration generated by.