A general model for intraday stock price movements is studied. The asset price dynamics is described by a marked point process Y, whose local characteristics (in particular the jump-intensity) depend on some unobservable hidden state variable X. The dynamics of Y and X may be strongly dependent....

The problem of the arbitrage-free pricing of a European contingent claim B is considered in a general model for intraday stock price movements in the case of partial information. The dynamics of the risky asset price is described through a marked point process Y, whose local characteristics...

This paper concerns a partially observable finite horizon control problem for -valued pure Markov jump process using the information given by the point process which counts the total number of jumps. Equivalence between the partially observable control problem and the separated control problem...

Some probabilistic techniques are discussed regarding their use in estimating the principal eigenvalue of an elliptic operator. Such estimates are useful when studying models for biochemical reactions governed by lateral diffusion.

We study several aspects of a special type of exchangeable distributions. These distributions arise when considering the lifetimes of the individuals in a population divided into d different subpopulations and there is a (symmetric) dependence among categories of single individuals. The role of...

We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly observe the development of the underlying macroeconomic...