La méthode d'approximation de Gauss-Galerkin en filtrage non linéaire
La méthode des semi-martingales en filtrage quand l'observation est un processus ponctuel marqué
L'équation de Zakai et le problème séparé du contrôle optimal stochastique
Les filtrations de certaines martingales du mouvement brownien dans
Level sets of random fields and applications: specular points and wave crests.
Linear filtering with fractional Brownian motion in the signal and observation processes.
Linear transformations of locally stationary processes
The paper deals with linear transformations of harmonizable locally stationary random processes. Necessary and sufficient conditions under which a linear transformation defines again a locally stationary process are given.
Linear transformations of two independent Brownian motions and orthogonal decompositions of Brownian filtrations.
Brownian motions defined as linear transformations of two independent Brownian motions are studied, together with certain orthogonal decompositions of Brownian filtrations.
LMS-Newton adaptive filtering using FFT-based conjugate gradient iterations.
Local risk-minimization for multidimensional assets and payment streams
One of the earliest concepts for hedging and pricing in incomplete financial markets has been the quadratic criterion of local risk-minimization. However, definitions and theory have so far been established only for the case of a single (one-dimensional) risky asset. We extend the approach to a general multidimensional setting and prove that the basic martingale characterization result for locally risk-minimizing strategies still holds true. In comparison with existing literature, the self-contained...