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FUSHIYA Hirotaka
Department Aoyama Gakuin University Department of Social Informatics, School of Social Informatics Position Professor |
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| Language | English |
| Publication Date | 2006 |
| Type | Academic Journal |
| Title | Asymptotic expansion for filtering problem and a short term rate model |
| Contribution Type | Single |
| Journal | Advances in Mathematical Economics |
| Volume, Issue, Page | vol.9,pp.33-48 |
| Details | 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\le s\le t. |