Forward and backward filtering based on backward stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Mean-Variance Hedging and Forward-Backward Stochastic Differential Filtering Equations
and Applied Analysis 3 objective is min J v · ;x0 subject to v · ∈ Uad, x · ;v · satisfies 1.3 or 1.4 . PIMV The above problem formulates a mean-variance hedging problem with partial information. For simplicity, hereinafter we denote it by the notation “Problem PIMV ”, short for the “partial information mean-variance hedging problem”. In particular, if we let Ft Zt, 0 ≤ t ≤ T , then Problem PIM...
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ژورنال
عنوان ژورنال: Inverse Problems and Imaging
سال: 2016
ISSN: 1930-8337
DOI: 10.3934/ipi.2016002