scientific article

Publication date: 1980

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Ito formula multiple Wiener integrals Ito calculus Cameron-Martin-Girsanov result functionals of Wiener process Kalman-Bucy theory weak solutions of stochastic differential equations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (only showing first 100 items - show all)

Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model ⋮ Some Large Deviation Asymptotics in Small Noise Filtering Problems ⋮ Invariance of stochastic control systems with deterministic arguments ⋮ Nonlinear filtering of partially observed systems arising in singular stochastic optimal control ⋮ The detection and estimation of the change point in a disccrete-time stochastic system ⋮ Nonlinear Filtering for Jump Diffusion Observations ⋮ Statistical inference using higher-order information ⋮ A survey of numerical methods for nonlinear filtering problems ⋮ Limit distributions of conditional $U$-statistics ⋮ Output dynamic controller analysis for stochastic systems of multiplicative type ⋮ A Cameron-Martin type formula for general Gaussian processes--a filtering approach ⋮ Robust stochastic maximum principle for multi-model worst case optimization ⋮ Mean Field Game Theory with a Partially Observed Major Agent ⋮ Nonlinear Filtering of Stochastic Navier-Stokes Equation with Itô-Lévy Noise ⋮ Unnamed Item ⋮ A limit theorem for the martingale problem and continuous dependence of the solutions of stochastic differential equations ⋮ Relations between multiple ito and stratonovich integrals ⋮ Spectral stochastic finite element analysis for laminated composite plates ⋮ Non-randomized strategies in stochastic decision processes ⋮ A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering ⋮ On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved ⋮ Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics ⋮ A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing ⋮ Asymptotic properties of the maximum likelihood estimator for spatio-temporal point processes ⋮ Sufficiency of Markov Policies for Continuous-Time Jump Markov Decision Processes ⋮ Density function of random differential equations via finite difference schemes: a theoretical analysis of a random diffusion-reaction Poisson-type problem ⋮ Gaussian measures on linear spaces ⋮ Examples of optimal controls for linear stochastic control systems with partial observation ⋮ Transformations of Gaussian random fields to Brownian sheet and nonparametric change-point tests ⋮ The least squares estimator of random variables under sublinear expectations ⋮ The approximation of multiple stochastic integrals ⋮ Bridges with random length: gamma case ⋮ The Föllmer–Schweizer decomposition under incomplete information ⋮ Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions ⋮ Kalman type filter under stationary noises ⋮ PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION ⋮ Robustness of estimators in a finitely additive white noise model ⋮ A small time approximation for the solution to the Zakai equation ⋮ Adaptive data refinement in the spectral stochastic finite element method ⋮ A BSDE approach to risk-based asset allocation of pension funds with regime switching ⋮ Strategic insider trading equilibrium: a filter theory approach ⋮ Discrete approximation of nonlinear filtering for stochastic delay equations ⋮ Realizable Strategies in Continuous-Time Markov Decision Processes ⋮ Nonlinear filtering for jump-diffusions ⋮ A conditionally almost linear filtering problem with non-gaussian initial condition^∗ ⋮ A class of solvable nonlinear filters ⋮ Super-Brownian motion as the unique strong solution to an SPDE ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ A Note On Utility Maximization Under Partial Observations¹ ⋮ Arbitrage Values Generally Depend On A Parametric Rate of Return ⋮ Large deviations for optimal filtering with fractional Brownian motion ⋮ Stochastic Filtering Methods in Electronic Trading ⋮ Stochastic finite elements: Computational approaches to stochastic partial differential equations ⋮ Stochastic $\varepsilon$-Optimal Linear Quadratic Adaptation: An Alternating Controls Policy ⋮ A linear filtering problem using radon transform ⋮ IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA ⋮ Self-regularized pseudo time-marching schemes for structural system identification with static measurements ⋮ The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness ⋮ How Deep Are Deep Gaussian Processes? ⋮ A recursive algorithm for the solution of special non-linear stochastic differential equations ⋮ A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching ⋮ Current algebras and the identification problem ⋮ Transmutation and linear stochastic estimation ⋮ Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization ⋮ On the martingale property of stochastic exponentials ⋮ Optimal LQG controller for linear stochastic systems with unknown parameters ⋮ Optimal Detection of a Change Point in a Poisson Process for Different Observation Schemes ⋮ Filtering formulae for partially observed linear systems with non-gaussian initial conditions ⋮ Nonlinear Filtering with Fractional Brownian Motion Noise ⋮ Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion ⋮ On the stability of the Kalman–Bucy filter with stationary time varying parameters ⋮ Uncertainty estimation and prediction for interdisciplinary ocean dynamics ⋮ RAP-method (random perturbation method) for finding $S$-minimax control vectors and parameter estimates for some linear systems with random coefficients ⋮ Weakly corrected numerical solutions to stochastically driven nonlinear dynamical systems ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes ⋮ On the anticipative nonlinear filtering problem and its stability ⋮ A Data Concealing Technique with Random Noise Disturbance and a Restoring Technique for the Concealed Data by Stochastic Process Estimation ⋮ Robust Feedback Stabilization of N-Level Quantum Spin Systems ⋮ Data Assimilation in the Detection of Vortices ⋮ Constructing reliable approximations of the probability density function to the random heat PDE via a finite difference scheme ⋮ Path developments and tail asymptotics of signature for pure rough paths ⋮ Evidential inference for diffusion-type processes ⋮ Ruin Theory in a Hidden Markov-Modulated Risk Model ⋮ Critical Ornstein-Uhlenbeck processes ⋮ Nonlinear semigroups associated with optimal stopping of controlled diffusions under partial observation ⋮ Mean Field Games with Partial Observation ⋮ A martingale approach for asset allocation with derivative security and hidden economic risk ⋮ Stability of non-linear filter for deterministic dynamics ⋮ Analysis of generalized Lévy white noise functionals ⋮ Nonlinear filtering of an interactive multiple model with small observation noise: numerical methods^∗ ⋮ Stochastic integration w.r.t. continuous local martingales ⋮ A semicircle law and decorrelation phenomena for iterated Kolmogorov loops ⋮ Filltering of a partially observed process in the case of a high signal –to–noise ratio for correlated systems ⋮ Approximating Ito integrals of differential forms and geodesic deviation ⋮ Filtering the Maximum Likelihood for Multiscale Problems ⋮ Poisson's Equation in Nonlinear Filtering ⋮ An HMM approach for optimal investment of an insurer ⋮ An approximation for the nonlinear filtering problem, with error bound^† ⋮ An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data

This page was built for publication: