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Latest revision as of 18:06, 7 June 2024

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Conditioned stochastic differential equations: theory, examples and application to finance.
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    Conditioned stochastic differential equations: theory, examples and application to finance. (English)
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    25 February 2005
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    Brownian bridge
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    conditioning
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    initial enlargement of filtration
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    exponential generalization of Pitman's 2M-X theorem
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    filtering
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    portfolio optimization
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