کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156368 | 958824 | 2006 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Filtering of a reflected Brownian motion with respect to its local time
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Filtering of a reflected Brownian motion with respect to its local time Filtering of a reflected Brownian motion with respect to its local time](/preview/png/1156368.png)
چکیده انگلیسی
We consider a filtering problem when the state process is a reflected Brownian motion Xt and the observation process is its local time Îs, for sâ¤t. For this model we derive an approximation scheme based on a suitable interpolation of the observation process Ît. The convergence of the approximating filter to the original one combined with an explicit construction of the approximating filter allows us to derive the explicit form of the original filter. The last result can be obtained also by means of the Azéma martingale.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 116, Issue 4, April 2006, Pages 568-584
Journal: Stochastic Processes and their Applications - Volume 116, Issue 4, April 2006, Pages 568-584
نویسندگان
Giovanna Nappo, Barbara Torti,