Work

The filtering problem for stochastic systems driven by G‐Brownian motion

Year: 2024

Type: article

Abstract: This paper studies quasi‐sure exponential of triangular stochastic differential equations driven by ‐Brownian motion ( ‐SDEs, in short) with the help of the stability of each diagonal subsystems by exponential martingale inequality and ‐stochastic analysis techniques. This result allows us to study the full‐order filtering problem of the stochastic systems driven ‐Brownian motion.

Source: Mathematical Methods in the Applied Sciences

DOI: 10.1002/mma.10547

Authors: Wensheng Yin, Yunshan He, Yong Ren

Institutions: Anhui University, Anhui Normal University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funders: National Natural Science Foundation of China, Natural Science Foundation of Anhui Province

Awards: G6418701368, 由G-布朗运动驱动的几类随机微分方程研究, G7932306504