The STUDIA UNIVERSITATIS BABEŞ-BOLYAI issue article summary

The summary of the selected article appears at the bottom of the page. In order to get back to the contents of the issue this article belongs to you have to access the link from the title. In order to see all the articles of the archive which have as author/co-author one of the authors mentioned below, you have to access the link from the author's name.

 
       
         
    STUDIA MATHEMATICA - Issue no. 3 / 2008  
         
  Article:   FILTERING FOR STOCHASTIC VOLATILITY FROM POINT PROCESS OBSERVATION.

Authors:  TIDARUT PLIENPANICH.
 
       
         
  Abstract:  In this note we consider the filtering problem for financial volatility that is an Ornstein-Uhlenbeck process from point process observation. This problem is investigated for a Markov-Feller process of which the Ornstein-Uhlenbeck process is a particular case.  
         
     
         
         
      Back to previous page