Estimating the implicit interest rate of a risky asset

DOI10.1016/0304-4149(94)90133-3zbMath0797.60036OpenAlexW1969786845MaRDI QIDQ1316597

Raymond W. Rishel, Robert J. Elliott

Publication date: 10 October 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)90133-3

zbMATH Keywords

stochastic differential equationhidden Markov modelsfinite-dimensional filtersfinite state Markov chain

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

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Cites Work

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