Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals.
Kleptsyna, M.L., le Breton, A. (2001)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “Linear filtering of systems with memory and application to finance.”
Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals.
Nonlinear filtering with an infinite dimensional signal process.
Boulanger, C., Schlitz, J. (1999)
Portugaliae Mathematica
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Nonlinear filtering with signal dependent observation noise.
Crisan, Dan, Kouritzin, Michael A., Xiong, Jie (2009)
Electronic Journal of Probability [electronic only]
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Time reversal for drifted fractional Brownian motion with Hurst index .
Darses, Sebastien, Saussereau, Bruno (2007)
Electronic Journal of Probability [electronic only]
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On variant reflected backward SDEs, with applications.
Ma, Jin, Wang, Yusun (2009)
Journal of Applied Mathematics and Stochastic Analysis
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Computation of Greeks for barrier and look-back options using Malliavin calculus.
Gobet, Emmanuel, Kohatsu-Higa, Arturo (2003)
Electronic Communications in Probability [electronic only]
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Further exponential generalization of Pitman's theorem.
Baudoin, Fabrice (2002)
Electronic Communications in Probability [electronic only]
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Dynamical properties and characterization of gradient drift diffusions.
Darses, Sébastian, Nourdin, Ivan (2007)
Electronic Communications in Probability [electronic only]
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A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Transience and non-explosion of certain stochastic Newtonian systems.
Kolokol'tsov, V.N., Schilling, R.L., Tyukov, A.E. (2002)
Electronic Journal of Probability [electronic only]
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Absorption in stochastic epidemics
Josef Štěpán, Jakub Staněk (2009)
Kybernetika
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A two dimensional stochastic differential equation is suggested as a stochastic model for the Kermack–McKendrick epidemics. Its strong (weak) existence and uniqueness and absorption properties are investigated. The examples presented in Section 5 are meant to illustrate possible different asymptotics of a solution to the equation.