An anticipative linear filtering equation

DOI10.1016/j.sysconle.2011.04.001zbMath1222.93220OpenAlexW3122211916MaRDI QIDQ553370

Terje Bjuland, Bernt Øksendal, Knut Kristian Aase

Publication date: 27 July 2011

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11250/163999

zbMATH Keywords

enlargement of filtrationinsider tradinganticipative linear filter equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05)

Related Items

Partially informed noise traders ⋮ On the anticipative nonlinear filtering problem and its stability

Cites Work

• An enlargement of filtration for Brownian motion
• Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran
• Random times and enlargements of filtrations in a Brownian setting.
• Stochastic differential equations. An introduction with applications.
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