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 equation; exponential families; Fokker-Planck equation; option pricing; nonlinear filtering; stock price models
62P05: Applications of statistics to actuarial sciences and financial mathematics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G35: Signal detection and filtering (aspects of stochastic processes)
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