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q-fin.MF2025★ 4 cited
Kalman Filter in the Problem of the Exchange and the Inflation Rates Adequacy To Determining Factors
N. S. Gonchar, W. H. Kozyrski, A. S. Zhokhin +1
Using introduced concept of the exchange and inflation rates adequacy, the relevance of them to the determining factors is found. We established close positive relation between hry…
q-fin.MF2016
Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets
N. S. Gonchar
In the paper, we introduce the notion of a local regular supermartingale relative to a convex set of equivalent measures and prove for it the necessary and sufficient conditions of…