| dc.date.accessioned | 2013-03-12T08:18:08Z | |
| dc.date.available | 2013-03-12T08:18:08Z | |
| dc.date.issued | 2003 | en_US |
| dc.date.submitted | 2009-12-17 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10662 | |
| dc.description.abstract | In this paper we explicitly solve a non-linear filtering problem with mixed observations, modelled by a Brownian motion and a generalized Cox process, whose jump intensity is given in terms of a Lévy measure. Motivated by empirical observations of R. Cont and P. Tankov we propose a model for financial assets, which captures the phenomenon of time-inhomogeneity of the jump size density. We apply the explicit formula to obtain the optimal filter for the corresponding filtering problem. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2003). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Explicit Solution of a Non-linear Filtering Problem for Lévy Processes with Application to Finance | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-12-17 | en_US |
| dc.rights.holder | Copyright 2003 The Author(s) | |
| dc.creator.author | Meyer-Brandis, Thilo | en_US |
| dc.creator.author | Proske, Frank | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23782 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 97989 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10662/1/pm32-03.pdf | |