A Gaussian-generalized inverse Gaussian finite-dimensional filter

Stochastic Processes and their Applications

Volumn 84, Issue 1, 1999, Pages 165-176

  Ferrante, Marco ^a   Vidoni, Paolo ^b  

^a UNIVERSITY OF PADOVA   (Italy)

^b UNIVERSITY OF UDINE   (Italy)

Author keywords

60G35; 93E11; Finite dimensional filter; Generalized hyperbolic distribution; Generalized inverse Gaussian distribution; Stochastic filtering; Stochastic volatility

Indexed keywords

EID: 0033228803     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(99)00059-9     Document Type: Article

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