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math.PR2023
Backward stochastic difference equations on lattices with application to market equilibrium analysis
Masaaki Fukasawa, Takashi Sato, Jun Sekine
We study backward stochastic difference equations (BSΔE) driven by a d-dimensional stochastic process on a lattice whose increments have only d + 1 possible values that generates t…
math.PR2014★ 6 cited
Stochastic Modelling with Randomised Markov Bridges
Andrea Macrina, Jun Sekine
We consider the filtering problem of estimating a hidden random variable by noisy observations. The noisy observation process is constructed by a randomised Markov bridge (RMB)…