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Stochastic Analysis Seminar on Filtering Theory

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  • Andrew Papanicolaou

Abstract

These notes were originally written for the Stochastic Analysis Seminar in the Department of Operations Research and Financial Engineering at Princeton University, in February of 2011. The seminar was attended and supported by members of the Research Training Group, with the author being partially supported by NSF grant DMS-0739195.

Suggested Citation

  • Andrew Papanicolaou, 2014. "Stochastic Analysis Seminar on Filtering Theory," Papers 1406.1936, arXiv.org, revised Oct 2016.
    • Handle: RePEc:arx:papers:1406.1936
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    References listed on IDEAS

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    1. Adrian Dragulescu & Victor Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 443-453.
    2. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2007, January-A.
    3. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1, July-Dece.
    4. Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
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