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Filtration of components of processes of random evolution

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Abstract

The problem of estimation of a nonobservable component θt for a two-dimensional process (θt, ξt) of random evolution (θ t,ξt);xt, 0≤t≤T, is investigated on the basis of observations of ξs. s≤t, where x t is a homogeneous Markov process with infinitesimal operator Q. Applications to stochastic models of a (B,S)-market of securities is described under conditions of incomplete market.

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Authors and Affiliations

  1. Institute of Mathematics, Ukrainian Academy of Sciences, Kiev

    A. V. Svishchuk & O. E. Lukin

Authors
  1. A. V. Svishchuk
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  2. O. E. Lukin
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Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 12, pp. 1701–1705, December, 1998.

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Svishchuk, A.V., Lukin, O.E. Filtration of components of processes of random evolution. Ukr Math J 50, 1939–1944 (1998). https://doi.org/10.1007/BF02514210

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