On SDEs with marginal laws evolving in finite-dimensional exponential families
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Publication:1579848
DOI10.1016/S0167-7152(00)00039-0zbMath0961.60060MaRDI QIDQ1579848
Publication date: 21 May 2001
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
stochastic differential equationexponential familiesFokker-Planck equationoption pricingnonlinear filteringstock price models
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35)
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Cites Work
- Martingales and stochastic integrals in the theory of continuous trading
- Approximate nonlinear filtering by projection on exponential manifolds of densities
- Option pricing impact of alternative continuous-time dynamics
- Stochastic partial differential equations with unbounded coefficients and applications II