Filtration of components of processes of random evolution

  • 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
How to Cite
LukinA. E., and SvishchukA. V. “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.
Section
Short communications