Nonlinear Filtering for Jump Diffusion Observations (Q3167334): Difference between revisions

@@ Property / cites work @@
+Bond Market Structure in the Presence of Marked Point Processes
+Normal rank
@@ Property / cites work @@
+Risk minimizing hedging for a partially observed high frequency data model
+Normal rank
@@ Property / cites work @@
+UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
+Normal rank
@@ Property / cites work @@
+Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems
+Normal rank
@@ Property / cites work @@
+Filtering of a Markov jump process with counting observations
+Normal rank
@@ Property / cites work @@
+A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
+Normal rank
@@ Property / cites work @@
+Q3086327
@@ Property / cites work: Q3086327 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of an Optimal Markovian Filter for the Control under Partial Observations
+Normal rank
@@ Property / cites work @@
+Optimal Control for Partially Observed Diffusions
@@ Property / cites work: Optimal Control for Partially Observed Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
+Normal rank
@@ Property / cites work @@
+Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
+Normal rank
@@ Property / cites work @@
+Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
+Normal rank
@@ Property / cites work @@
+Q5653395
@@ Property / cites work: Q5653395 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3908216
@@ Property / cites work: Q3908216 / rank @@
+Normal rank
@@ Property / cites work @@
+Unique characterization of conditional distributions in nonlinear filtering
+Normal rank
@@ Property / cites work @@
+Q3015742
@@ Property / cites work: Q3015742 / rank @@
+Normal rank
@@ Property / cites work @@
+On the unnormalized solution of the filtering problem with counting process observations
+Normal rank
@@ Property / cites work @@
+Q4139359
@@ Property / cites work: Q4139359 / rank @@
+Normal rank
@@ Property / cites work @@
+Mixed control problem under partial observation
@@ Property / cites work: Mixed control problem under partial observation / rank @@
+Normal rank