Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance

DOI10.1007/s00245-004-0798-6zbMath1053.60040OpenAlexW2032755050MaRDI QIDQ1884729

Thilo Meyer-Brandis, Frank Norbert Proske

Publication date: 5 November 2004

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-004-0798-6

zbMATH Keywords

Lévy processeswhite noise analysisnonlinear filteringZakai equationoptimal filterStochastic partial differential equationsAsset pricing theory in financeexplicit \(L^p\)-solution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) White noise theory (60H40) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generation, random and stochastic difference and differential equations (37H10)

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