Filtration of components of processes of random evolution |
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Authors: | A V Svishchuk O E Lukin |
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Institution: | (1) Institute of Mathematics, Ukrainian Academy of Sciences, Kiev |
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Abstract: | The problem of estimation of a nonobservable component θt for a two-dimensional process (θt, ξt) of random evolution (θ
t,ξt);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.
Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 12, pp. 1701–1705, December, 1998. |
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Keywords: | |
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