An anticipative linear filtering equation

DOI10.1016/J.SYSCONLE.2011.04.001zbMATH Open1222.93220OpenAlexW3122211916MaRDI QIDQ553370FDOQ553370

Terje Bjuland, B. Øksendal, Knut Kristian Aase

Publication date: 27 July 2011

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11250/163999

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zbMATH Keywords

enlargement of filtrationinsider tradinganticipative linear filter equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05)

Cites Work

• Stochastic differential equations. An introduction with applications.
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• Random times and enlargements of filtrations in a Brownian setting.
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• An enlargement of filtration for Brownian motion
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• Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran

Cited In (5)

• Optimal control of LQ problem with anticipative partial observations
• Partially informed noise traders
• On the anticipative nonlinear filtering problem and its stability
• Linear difference equations for prediction filters
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