most citedDeep learning for quadratic hedging in incomplete jump market

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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…

math.PR2024

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…