Conditioned stochastic differential equations: theory, examples and application to finance. (Q1766028)
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scientific article; zbMATH DE number 2138921
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| English | Conditioned stochastic differential equations: theory, examples and application to finance. |
scientific article; zbMATH DE number 2138921 |
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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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0.770844578742981
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0.746154248714447
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0.745646059513092
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0.7433609962463379
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