Linear filtering of systems with memory and application to finance.
Inoue, A.; Nakano, Y.; Anh, V.
Journal of Applied Mathematics and Stochastic Analysis (2006)
- Volume: 2006, Issue: 1, page Article ID 53104, 26 p.-Article ID 53104, 26 p.
- ISSN: 2090-3332
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topInoue, A., Nakano, Y., and Anh, V.. "Linear filtering of systems with memory and application to finance.." Journal of Applied Mathematics and Stochastic Analysis 2006.1 (2006): Article ID 53104, 26 p.-Article ID 53104, 26 p.. <http://eudml.org/doc/45046>.
@article{Inoue2006,
author = {Inoue, A., Nakano, Y., Anh, V.},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {semimartingale representation; innovation theory; Kalman-Bucy-type filtering; optimal portfolio problem},
language = {eng},
number = {1},
pages = {Article ID 53104, 26 p.-Article ID 53104, 26 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {Linear filtering of systems with memory and application to finance.},
url = {http://eudml.org/doc/45046},
volume = {2006},
year = {2006},
}
TY - JOUR
AU - Inoue, A.
AU - Nakano, Y.
AU - Anh, V.
TI - Linear filtering of systems with memory and application to finance.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2006
PB - Hindawi Publishing Corporation, New York
VL - 2006
IS - 1
SP - Article ID 53104, 26 p.
EP - Article ID 53104, 26 p.
LA - eng
KW - semimartingale representation; innovation theory; Kalman-Bucy-type filtering; optimal portfolio problem
UR - http://eudml.org/doc/45046
ER -
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