2 papers
math.PR2026
A time-fractional Kalman filter
Olfa Draouil, Rahma Yasmina Moulay Hachemi, Bernt Øksendal +1
We study a linear filtering problem in which the signal process is described by a time-fractional linear stochastic differential equation driven by Brownian motion. We derive a sto…
q-fin.TR2024
Deep learning for quadratic hedging in incomplete jump market
Nacira Agram, Bernt Ãksendal, Jan Rems
We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump diffusion market. It is based upon a rigorous stochastic calculu…