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20112018
most citedDrift parameter estimation for fractional Ornstein-Uhlenbeck process of the Second Kind

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q-fin.TR2011

Initial Enlargement in a Markov chain market model

Dario Gasbarra, José Igor Morlanes, Esko Valkeila

Enlargement of filtrations is a classical topic in the general theory of stochastic processes. This theory has been applied to stochastic finance in order to analyze models with in…