6 citations · 6 across the 6 of their papers we have counts for
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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)…
q-fin.PR2014
A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information
Takashi Kato, Jun Sekine, Hiromitsu Yamamoto
A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting spe…