On some filtering problems arising in mathematical finance

Author:

Brigo Damiano,Hanzon Bernard

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference25 articles.

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3. A fast heuristic method for polynomial moment problems with Boltzmann-Shannon entropy;Borwein;SIAM Journal of Optimization,1995

4. On the nice behaviour of the Gaussian projection filter with small observation noise;Brigo;Systems and Control Letters,1995

5. New results on the Gaussian projection filter with small observation noise;Brigo;Systems and Control Letters,1996

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