메뉴 건너뛰기




Volumn 2006, Issue , 2006, Pages

Linear filtering of systems with memory and application to finance

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33645694358     PISSN: 10489533     EISSN: 16872177     Source Type: Journal    
DOI: 10.1155/JAMSA/2006/53104     Document Type: Article
Times cited : (8)

References (21)
  • 1
    • 16244389985 scopus 로고    scopus 로고
    • Financial markets with memory. I. Dynamic models
    • Stochastic Analysis and Applications
    • V. V. Anh A. Inoue Financial markets with memory. I. Dynamic models Stochastic Analysis and Applications Stochastic Analysis and Applications 23 2005 2 275-300
    • (2005) Stochastic Analysis and Applications , vol.23 , Issue.2 , pp. 275-300
    • Anh, V.V.1    Inoue, A.2
  • 2
    • 16244415545 scopus 로고    scopus 로고
    • Financial markets with memory. II. Innovation processes and expected utility maximization
    • Stochastic Analysis and Applications
    • V. V. Anh A. Inoue Y. Kasahara Financial markets with memory. II. Innovation processes and expected utility maximization Stochastic Analysis and Applications Stochastic Analysis and Applications 23 2005 2 301-328
    • (2005) Stochastic Analysis and Applications , vol.23 , Issue.2 , pp. 301-328
    • Anh, V.V.1    Inoue, A.2    Kasahara, Y.3
  • 3
    • 33645697416 scopus 로고    scopus 로고
    • Incorporation of memory into the Black-Scholes-Merton theory and estimation of volatility
    • submitted. Available at
    • V. V. Anh A. Inoue C. Pesee Incorporation of memory into the Black-Scholes-Merton theory and estimation of volatility submitted. Available at http://www.math.hokudai.ac.jp/~inoue/
    • Anh, V.V.1    Inoue, A.2    Pesee, C.3
  • 4
    • 0003633991 scopus 로고
    • Filtering for Stochastic Processes with Applications to Guidance
    • InterScience New York
    • R. S. Bucy P. D. Joseph Filtering for Stochastic Processes with Applications to Guidance Interscience Tracts in Pure and Applied Mathematics, no. 23 InterScience New York 1968 xviii+195
    • (1968) Interscience Tracts in Pure and Applied Mathematics , Issue.23
    • Bucy, R.S.1    Joseph, P.D.2
  • 5
    • 0004077516 scopus 로고
    • Linear Estimation and Stochastic Control
    • Chapman and Hall Mathematics Series Chapman and Hall London
    • M. H. A. Davis Linear Estimation and Stochastic Control Chapman and Hall Mathematics Series Chapman and Hall London 1977 xii+224
    • (1977)
    • Davis, M.H.A.1
  • 6
    • 84944835096 scopus 로고
    • Asset pricing in a production economy with incomplete information
    • J. B. Detemple Asset pricing in a production economy with incomplete information The Journal of Finance 41 1986 2 383-391
    • (1986) The Journal of Finance , vol.41 , Issue.2 , pp. 383-391
    • Detemple, J.B.1
  • 7
    • 0009186749 scopus 로고
    • Equilibrium interest rates and multiperiod bonds in a partially observable economy
    • D. Feldman M. U. Dothan Equilibrium interest rates and multiperiod bonds in a partially observable economy The Journal of Finance 41 1986 2 369-382
    • (1986) The Journal of Finance , vol.41 , Issue.2 , pp. 369-382
    • Feldman, D.1    Dothan, U.M.2
  • 8
    • 84944832936 scopus 로고
    • Optimal portfolio choice under incomplete information
    • G. Gennotte Optimal portfolio choice under incomplete information The Journal of Finance 41 1986 3 733-746
    • (1986) The Journal of Finance , vol.41 , Issue.3 , pp. 733-746
    • Gennotte, G.1
  • 10
    • 33645668444 scopus 로고    scopus 로고
    • Binary market models with memory
    • submitted. Available at
    • A. Inoue Y. Nakano V. V. Anh Binary market models with memory submitted. Available at http://www.math.hokudai.ac.jp/~inoue/
    • Inoue, A.1    Nakano, Y.2    Anh, V.V.3
  • 11
    • 0003440756 scopus 로고
    • Stochastic Processes and Filtering Theory
    • Academic Press New York
    • A. H. Jazwinski Stochastic Processes and Filtering Theory Academic Press New York 1970
    • (1970)
    • Jazwinski, A.H.1
  • 16
    • 0032392894 scopus 로고    scopus 로고
    • Linear filtering with fractional Brownian motion
    • Stochastic Analysis and Applications
    • M. L. Kleptsyna P. E. Kloeden V. V. Anh Linear filtering with fractional Brownian motion Stochastic Analysis and Applications Stochastic Analysis and Applications 16 1998 5 907-914
    • (1998) Stochastic Analysis and Applications , vol.16 , Issue.5 , pp. 907-914
    • Kleptsyna, M.L.1    Kloeden, P.E.2    Anh, V.V.3
  • 17
    • 15244345021 scopus 로고    scopus 로고
    • Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises
    • Statistical Inference for Stochastic Processes. An International Journal Devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems
    • M. L. Kleptsyna A. Le Breton Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises Statistical Inference for Stochastic Processes. An International Journal Devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems Statistical Inference for Stochastic Processes. An International Journal Devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems 5 2002 3 249-271
    • (2002) Statistical Inference for Stochastic Processes. An International Journal Devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems , vol.5 , Issue.3 , pp. 249-271
    • Kleptsyna, M.L.1    Le Breton, A.2
  • 18
    • 0141856377 scopus 로고    scopus 로고
    • General approach to filtering with fractional Brownian noises - Application to linear systems
    • Stochastics and Stochastics Reports
    • M. L. Kleptsyna A. Le Breton M.-C. Roubaud General approach to filtering with fractional Brownian noises - Application to linear systems Stochastics and Stochastics Reports Stochastics and Stochastics Reports 71 2000 1-2 119-140 119-140
    • (2000) Stochastics and Stochastics Reports , vol.71 , Issue.1-2 , pp. 119-140
    • Kleptsyna, M.L.1    Le Breton, A.2    Roubaud, M.-C.3
  • 19
    • 0009256397 scopus 로고
    • Utility maximization with partial information
    • Stochastic Processes and their Applications
    • P. Lakner Utility maximization with partial information Stochastic Processes and their Applications Stochastic Processes and their Applications 56 1995 2 247-273
    • (1995) Stochastic Processes and Their Applications , vol.56 , Issue.2 , pp. 247-273
    • Lakner, P.1
  • 20
    • 0038462809 scopus 로고    scopus 로고
    • Optimal trading strategy for an investor: The case of partial information
    • Stochastic Processes and their Applications
    • P. Lakner Optimal trading strategy for an investor: The case of partial information Stochastic Processes and their Applications Stochastic Processes and their Applications 76 1998 1 77-97
    • (1998) Stochastic Processes and Their Applications , vol.76 , Issue.1 , pp. 77-97
    • Lakner, P.1
  • 21
    • 0004325876 scopus 로고    scopus 로고
    • Statistics of Random Processes. I. General Theory
    • Springer Berlin 2nd
    • R. S. Liptser A. N. Shiryaev Statistics of Random Processes. I. General Theory Applications of Mathematics 5 Springer Berlin 2nd 2001 xvi+427
    • (2001) Applications of Mathematics , vol.5
    • Liptser, R.S.1    Shiryaev, A.N.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.