An anticipative linear filtering equation

DOI10.1016/J.SYSCONLE.2011.04.001MaRDI QIDQ553370zbMATHOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 3840974 (Why is no real title available?)
• scientific article; zbMATH DE number 3921633 (Why is no real title available?)
• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• An enlargement of filtration for Brownian motion
• 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
• Random times and enlargements of filtrations in a Brownian setting.
• Stochastic differential equations. An introduction with applications.

Cited in

(5)

• On the anticipative nonlinear filtering problem and its stability
• Linear difference equations for prediction filters
• scientific article; zbMATH DE number 1408892 (Why is no real title available?)
• Optimal control of LQ problem with anticipative partial observations
• Partially informed noise traders

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