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On the derivation of a filtering equation for a non-observable semimartingale

  • Section I Controlled Stochastic Processes
  • Conference paper
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Stochastic Optimization

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 81))

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References

  1. J. Jacod. Calcul stochastique et problemes des martingales. Lecture Notes in Mathematics, Vol. 714, 1979.

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  2. M. Yor. Sur la theorie du filtrage. Lecture Notes in Mathematics, Vol. 876, 1981, pp. 239–280.

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Authors and Affiliations

  1. Kiev State University, Ukraine

    L. I. Galčuk

Authors
  1. L. I. Galčuk
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Editor information

Vadim I. Arkin A. Shiraev R. Wets

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© 1986 International Institute for Applied Systems Analysis

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Galčuk, L.I. (1986). On the derivation of a filtering equation for a non-observable semimartingale. In: Arkin, V.I., Shiraev, A., Wets, R. (eds) Stochastic Optimization. Lecture Notes in Control and Information Sciences, vol 81. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0007080

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  • DOI: https://doi.org/10.1007/BFb0007080

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-16659-7

  • Online ISBN: 978-3-540-39841-7

  • eBook Packages: Springer Book Archive

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