Linear filtering of systems with memory and application to finance.
Inoue, A., Nakano, Y., Anh, V. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “Nonlinear filtering with an infinite dimensional signal process.”
Linear filtering of systems with memory and application to finance.
A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient.
Halidias, Nikolaos, Kloeden, P.E. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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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.
Dynamical properties and characterization of gradient drift diffusions.
Darses, Sébastian, Nourdin, Ivan (2007)
Electronic Communications in 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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Optimal contracts in continuous-time models.
Cvitanić, Jakša, Wan, Xuhu, Zhang, Jianfeng (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Corrections to “On Lev́y processes conditioned to stay positive".
Chaumont, Loïc, Doney, Ronald Arthur (2008)
Electronic Journal of Probability [electronic only]
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Urn-related random walk with drift .
Menshikov, Mikhail, Volkov, Stanislav (2008)
Electronic Journal of Probability [electronic only]
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Sobolev solution for semilinear PDE with obstacle under monotonicity condition.
Matoussi, Anis, Xu, Mingyu (2008)
Electronic Journal of Probability [electronic only]
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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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Filtering with a limiter (improved performance).
Liptser, R., Muzhikanov, P. (1998)
Journal of Applied Mathematics and Stochastic Analysis
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