Filtration of components of processes of random evolution
The problem of estimation of a nonobservable component θt for a two-dimensional process (θt, ξt) of random evolution (θ t,ξt);xt, 0≤t≤T, is investigated on the basis of observations of ξs. s≤t, where x t is a homogeneous Markov process with infinitesimal operator Q. Applications to stochastic models...
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| Datum: | 1998 |
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| Hauptverfasser: | , , , |
| Format: | Artikel |
| Sprache: | Ukrainisch Englisch |
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Institute of Mathematics, NAS of Ukraine
1998
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| Online Zugang: | https://umj.imath.kiev.ua/index.php/umj/article/view/4790 |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
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Ukrains’kyi Matematychnyi Zhurnal| _version_ | 1860510962665127936 |
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| author | Lukin, A. E. Svishchuk, A. V. Лукін, О. Е. Свіщук, А. В. |
| author_facet | Lukin, A. E. Svishchuk, A. V. Лукін, О. Е. Свіщук, А. В. |
| author_sort | Lukin, A. E. |
| baseUrl_str | https://umj.imath.kiev.ua/index.php/umj/oai |
| collection | OJS |
| datestamp_date | 2020-03-18T21:14:27Z |
| description | The problem of estimation of a nonobservable component θt for a two-dimensional process (θt, ξt) of random evolution (θ t,ξt);xt, 0≤t≤T, is investigated on the basis of observations of ξs. s≤t, where x t is a homogeneous Markov process with infinitesimal operator Q. Applications to stochastic models of a (B,S)-market of securities is described under conditions of incomplete market. |
| first_indexed | 2026-03-24T03:05:20Z |
| format | Article |
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| id | umjimathkievua-article-4790 |
| institution | Ukrains’kyi Matematychnyi Zhurnal |
| keywords_txt_mv | keywords |
| language | Ukrainian English |
| last_indexed | 2026-03-24T03:05:20Z |
| publishDate | 1998 |
| publisher | Institute of Mathematics, NAS of Ukraine |
| record_format | ojs |
| resource_txt_mv | umjimathkievua/cf/902ca0c39cf480cd2e08edd731743bcf.pdf |
| spelling | umjimathkievua-article-47902020-03-18T21:14:27Z Filtration of components of processes of random evolution Фільтрація компонент процесів випадкової еволюції Lukin, A. E. Svishchuk, A. V. Лукін, О. Е. Свіщук, А. В. The problem of estimation of a nonobservable component θt for a two-dimensional process (θt, ξt) of random evolution (θ t,ξt);xt, 0≤t≤T, is investigated on the basis of observations of ξs. s≤t, where x t is a homogeneous Markov process with infinitesimal operator Q. Applications to stochastic models of a (B,S)-market of securities is described under conditions of incomplete market. Досліджуються задача оцінювання иеспостережувальної компоненти $θ_t$ двовимірного процесу (θ_t, ξ_t) випадкової еволюції $(θ_t, ξ_t);x_t, 0 ≤ t ≤ T, $ за результатами спостережень $ξ_s, s ≤ t$, де $x_t $ — однорідний процес Маркова з інфінітезимальним оператором $Q$. Наведено застосування до стохастичпих моделей $ (B,S)$-ринку цінних паперів в умовах неповного ринку. Institute of Mathematics, NAS of Ukraine 1998-12-25 Article Article application/pdf https://umj.imath.kiev.ua/index.php/umj/article/view/4790 Ukrains’kyi Matematychnyi Zhurnal; Vol. 50 No. 12 (1998); 1701–1705 Український математичний журнал; Том 50 № 12 (1998); 1701–1705 1027-3190 uk en https://umj.imath.kiev.ua/index.php/umj/article/view/4790/6280 https://umj.imath.kiev.ua/index.php/umj/article/view/4790/6281 Copyright (c) 1998 Lukin A. E.; Svishchuk A. V. |
| spellingShingle | Lukin, A. E. Svishchuk, A. V. Лукін, О. Е. Свіщук, А. В. Filtration of components of processes of random evolution |
| title | Filtration of components of processes of random evolution |
| title_alt | Фільтрація компонент процесів випадкової еволюції |
| title_full | Filtration of components of processes of random evolution |
| title_fullStr | Filtration of components of processes of random evolution |
| title_full_unstemmed | Filtration of components of processes of random evolution |
| title_short | Filtration of components of processes of random evolution |
| title_sort | filtration of components of processes of random evolution |
| url | https://umj.imath.kiev.ua/index.php/umj/article/view/4790 |
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