In this paper we study parameter estimation via the Expectation Maximization (EM) algorithm for a continuous … credit risk modelling. A key step in the application of the EM algorithm is the derivation of finite-dimensional filters for … the quantities that are needed in the E-step of the algorithm. In this context we obtain exact, unnormalized and robust …

We propose a partitioning algorithm to solve a class of linear-quadratic Markov decision processes with inequality … algorithm gives the closed-form solution without discretization error, and in many cases does not suffer from the curse of … dimensionality. The algorithm is applied to two applications. In the main application, we present a model for limit order books with …