Filtration of components of processes of random evolution

Authors

  • A. E. Lukin
  • A. V. Svishchuk

Abstract

The problem of estimation of a nonobservable component θt for a two-dimensional process (θt, ξt) of random evolution (θ tt);xt, 0≤t≤T, is investigated on the basis of observations of ξs. s≤t, where x t is a homogeneous Markov process with infinitesimal operator Q. Applications to stochastic models of a (B,S)-market of securities is described under conditions of incomplete market.

Published

25.12.1998

Issue

Section

Short communications

How to Cite

Lukin, A. E., and A. V. Svishchuk. “Filtration of Components of Processes of Random Evolution”. Ukrains’kyi Matematychnyi Zhurnal, vol. 50, no. 12, Dec. 1998, pp. 1701–1705, https://umj.imath.kiev.ua/index.php/umj/article/view/4790.