Linear filtering of systems with memory and application to finance
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Publication:2498195
DOI10.1155/JAMSA/2006/53104zbMath1184.91212arXivmath/0407454OpenAlexW2033251060MaRDI QIDQ2498195
Yumiharu Nakano, V. V. Anh, Akihiko Inoue
Publication date: 28 August 2006
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0407454
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Filtering in stochastic control theory (93E11) Generalizations of martingales (60G48)
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