Optional decomposition of optional supermartingales and applications to filtering and finance
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Publication:5087026
DOI10.1080/17442508.2018.1545843zbMath1496.91081OpenAlexW2905159122MaRDI QIDQ5087026
Mohamed N. Abdelghani, Alexander V. Melnikov
Publication date: 8 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2018.1545843
optional decompositionoptional semimartingalesfiltering of semimartingalesfinancial model with incomplete informationuniform Doob-Meyer decompositionunusual probability spaces
Related Items (3)
Parameter estimation in optional semimartingale regression models ⋮ On the optional and orthogonal decompositions of supermartingales and applications ⋮ On the optional and orthogonal decompositions of a class of semimartingales
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