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International Journal of Control, ISSN 0020-7179, 2018, pp. 1 - 10
Journal Article
Advances in Applied Probability, ISSN 0001-8678, 09/2012, Volume 44, Issue 3, pp. 678 - 701
We deal with the filtering problem of a general jump diffusion process, X, when the observation process, Y, is a correlated jump diffusion process having... 
Jump diffusion process | Filtering | 93E11 | 60J75 | 60J60 | jump diffusion process
Journal Article
International Journal of Computer Mathematics, ISSN 0020-7160, 02/2020, Volume 97, Issue 1-2, pp. 40 - 50
This paper addresses the least-squares linear filtering problem of signals from measurements which may be randomly delayed by one or two sampling times. The... 
60G35 | 93E11 | Least-squares estimation | 93E10 | innovation approach | Markovian delays | recursive filtering algorithm | covariance information | 62M20 | MATHEMATICS, APPLIED | UNBIASED STATE ESTIMATION | NETWORKED SYSTEMS | MULTIPLE SENSORS | Recursive methods | Algorithms | Error analysis | Filtration | Covariance | Least squares | Markov chains | Markov analysis
Journal Article
Journal of Applied Probability, ISSN 0021-9002, 09/2015, Volume 52, Issue 3, pp. 718 - 735
In a defaultable market, an investor trades having only partial information about the behavior of the market. Taking into account the intraday stock movements,... 
93E11 | Optimal investment | 49L20 | 93E03 | dynamic programming | default time | exponential utility | filtering | backward stochastic differential equation
Journal Article
Journal of Applied Probability, ISSN 0021-9002, 09/2015, Volume 52, Issue 3, pp. 636 - 648
We extend the Kalman-Bucy filter to the case where both the system and observation processes are driven by finite dimensional Lévy processes, but whereas the... 
93E11 | 60G35 | 60H10 | Lévy process | 60G51 | Kalman-Bucy filter | Riccati equation | 62M20
Journal Article
The Annals of Applied Probability, ISSN 1050-5164, 10/2013, Volume 23, Issue 5, pp. 2139 - 2160
In the late seventies, Clark [In Communication Systems and Random Process Theory (Proc. 2nd NATO Advanced Study Inst., Darlington, 1977) (1978) 721-734,... 
Brownian motion | Filtration | Approximation | Abstract spaces | Particle interactions | Differential equations | Signal noise | Mathematics | Coefficients | Probabilities | Rough path theory | Robustness | Filtering | robustness | rough path theory | STATISTICS & PROBABILITY | CONTINUITY | Mathematics - Probability | 60G35 | 93E11
Journal Article
International Journal of Computer Mathematics, ISSN 0020-7160, 02/2020, Volume 97, Issue 1-2, pp. 95 - 108
Journal Article
International Journal of Computer Mathematics, ISSN 0020-7160, 02/2020, Volume 97, Issue 1-2, pp. 263 - 274
Journal Article
Stochastics, ISSN 1744-2508, 05/2018, Volume 90, Issue 4, pp. 504 - 523
In a financial market, to analyze the credit quality of firms, this note proposes a dynamical model. The population of firms is divided into a finite number of... 
93E11 | 60G35 | exchangeability | default | 92D25 | 92D15 | Heterogeneous populations | filtering | 62L20 | LIFETIMES | MATHEMATICS, APPLIED | HETEROGENEOUS POPULATION | OCCUPATION NUMBERS | STATISTICS & PROBABILITY
Journal Article
Communications in Statistics - Theory and Methods, ISSN 0361-0926, 05/2019, Volume 48, Issue 9, pp. 2088 - 2101
Journal Article
Inverse Problems in Science and Engineering, ISSN 1741-5977, 08/2019, Volume 27, Issue 8, pp. 1170 - 1193
Journal Article
Random Operators and Stochastic Equations, ISSN 0926-6364, 03/2017, Volume 25, Issue 1, pp. 27 - 39
We apply simulated quantum evolution to image processing, and examine its practicality in the context of image denoising. More specifically, in our approach... 
image processing | 60G35 | 93E11 | quantum reality and geometry | Quantum dynamical semigroups | 81S22 | Image processing | Quantum reality and geometry | Technology application | Quantum computing | Usage | Methods | Simulation | Quantum physics | Image processing systems
Journal Article
Stochastic Analysis and Applications, ISSN 0736-2994, 09/2016, Volume 34, Issue 5, pp. 882 - 892
The purpose of this article is to compute an explicit formula for the unnormalized conditional density for the filter associated with a nonlinear filtering... 
93E11 | 60G35 | 60G57 | finite-dimensional filter | 60H10 | Nonlinear filtering | Daum filter | 60H15 | MATHEMATICS, APPLIED | STATISTICS & PROBABILITY | Correlation | Filtration | Filtering | Noise | Nonlinearity | Beneficiation | Noise control | Dynamical systems
Journal Article
International Journal of Computer Mathematics, ISSN 0020-7160, 12/2015, Volume 92, Issue 12, pp. 2575 - 2595
A simple, efficient tree is developed to price options in a very general regime-switching jump diffusion model. Under this model, the switching rates of the... 
93E11 | 93E20 | financial derivatives | trinomial tree | regime-switching model | stochastic approximation | option pricing | 91G80 | MATHEMATICS, APPLIED | STOCHASTIC VOLATILITY | VALUATION | BOND | Trees | Approximation | Volatility | Pricing | Mathematical models | Raw materials | Diffusion | Switching
Journal Article
Methodology and Computing in Applied Probability, ISSN 1387-5841, 12/2017, Volume 19, Issue 4, pp. 1123 - 1134
The daily asset (log) return is considered to consist of two parts, the positive and negative jump. These jumps are determined by the arrival of positive and... 
93E11 | Life Sciences, general | 60G75 | Kalman filter | Positive-negative return jumps | Pdf truncation | Statistics, general | Statistics | Economics, general | Business and Management, general | 91G80 | Electrical Engineering | STATISTICS & PROBABILITY | INTEREST-RATES | Probability | Kalman filters | Economic models
Journal Article
Stochastic Analysis and Applications, ISSN 0736-2994, 07/2017, Volume 35, Issue 4, pp. 633 - 644
The Wonham filter, which estimates a Markov chain observed in Brownian noise, is considered. However, the parameters of the observation process are not known.... 
Markov chain filter | 93E11 | 93E20 | adjoint process | Nash equilibrium | maximum principle | 60H15 | MATHEMATICS, APPLIED | STATISTICS & PROBABILITY | Economic models | Probability theory | Stochastic processes | Optimal control | Process parameters | Randomness | Markov chains | Game theory | Noise (mathematics) | Brownian movements
Journal Article
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