3 citations · 3 across the 3 of their papers we have counts for
3 papers
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…
A Kalman filter for linear systems driven by time-space Brownian sheet
Nacira Agram, Bernt Øksendal, Frank Proske +1
We study a linear filtering problem where the signal and observation processes are described as solutions of linear stochastic differential equations driven by time-space Brownian…
Deep learning for quadratic hedging in incomplete jump market
Nacira Agram, Bernt Øksendal, 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…