A representation theorem on a filtering model with first-passage-type stopping time

zbMath1342.60058arXiv1509.02304MaRDI QIDQ2814332

Takenobu Nakashima

Publication date: 21 June 2016

Full work available at URL: https://arxiv.org/abs/1509.02304

zbMATH Keywords

representation theoremfiltrationinformationintensitydefault timehazard processfiltering modelfirst-passage-type stopping time

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05)

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