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Asymptotic expansion for a filtering problem and a short term rate model.
- Source :
- Advances in Mathematical Economics (9784431343417); 2006, p33-48, 16p
- Publication Year :
- 2006
-
Abstract
- We study the filtering problem in which a system process Xt(ε) and a observing process Yt(ε) depend on the parameter ε, and Xt(ε) converges to a deterministic function Xt(0) as ε ↓ 0. We give an asymptotic expansion formula in Lp for the conditional expectation of a function of Xt(ε) under the σ-field generated by the process Ys(ε), 0 ≤ s ≤ t. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISBNs :
- 9784431343417
- Database :
- Supplemental Index
- Journal :
- Advances in Mathematical Economics (9784431343417)
- Publication Type :
- Book
- Accession number :
- 32943187
- Full Text :
- https://doi.org/10.1007/4-431-34342-3_3