http://192.168.1.231:8080/dulieusoDIGITAL_123456789/5886| Title: | Filtering for stochastic volatility from point process observation |
| Authors: | Tran Hung Thao |
| Issue Date: | 2020 |
| Publisher: | Đại học Quốc gia Hà Nội |
| Abstract: | In this note we consider the filtering problem for financial volatility that is an Omstein -Ulhenbeck process from point process observation. Th is proble m is investigated for a Markov -Felle rprocess of which the Omst in -Ulhenbeck process is a partic ularcase |
| URI: | http://192.168.1.231:8080/dulieusoDIGITAL_123456789/5886 |
| Appears in Collections: | Các chuyên ngành khác |
| File | Description | Size | Format | |
|---|---|---|---|---|
| 2075-1-4038-1-10-20161109.pdf | 1.29 MB | Adobe PDF | View/Open |
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