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Optimal Linear Filtration of a Doubly Stochastic Process

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Abstract

An algorithm of optimal linear filtration of the volatility coefficient in the model of changing prices of financial assets is constructed.

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REFERENCES

  1. N. Sklyarevich and F. A. Sklyarevich, Probabilistic Models of Variable Objects [in Russian], Zinatne, Riga (1989).

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  2. N. Nielsen, M. Vestergaard, and H. Madsen, in: Proc. 14th IFAC World Congress, Moscow (1999), pp. 123-128.

  3. E. Sotnikova, in: Statistical Data Processing and Control of Complex Systems. Part 2 [in Russian], Publishing House of Tomsk State University, Tomsk (2000), pp. 106-112.

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Authors and Affiliations

  1. Tomsk State University, Russia

    E. E. Sotnikova & A. F. Terpugov

Authors
  1. E. E. Sotnikova
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  2. A. F. Terpugov
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Sotnikova, E.E., Terpugov, A.F. Optimal Linear Filtration of a Doubly Stochastic Process. Russian Physics Journal 45, 346–351 (2002). https://doi.org/10.1023/A:1020570805676

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  • DOI: https://doi.org/10.1023/A:1020570805676

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