We note that the filter attempted for each major increase of the Bessel process to interpret this as a shift of the Markov ... The support of SSHRC is gratefully acknowledged for his visit at the University of Alberta in Edmonton during which the major parts of this ... A theory of the term structure of interest rates, Econometrica 53, 385a407, 1985. ... filtering, Monte Carlo Methods Appl. 5(1), 142 R. Elliott, E. Platen.

Title | : | Stochastics in Finite and Infinite Dimensions |

Author | : | Takeyuki Hida, Rajeeva L. Karandikar, Hiroshi Kunita, Balram S. Rajput, Shinzo Watanabe, Jie Xiong |

Publisher | : | Springer Science & Business Media - 2012-12-06 |

Continue