Conditioned stochastic differential equations: theory, examples and application to finance. (Q1766028): Difference between revisions
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Revision as of 04:36, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditioned stochastic differential equations: theory, examples and application to finance. |
scientific article |
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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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