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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…
q-fin.TR2024★ 3 cited
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…