67 citations · 127 across the 10 of their papers we have counts for
Showing 2004 · math.PRShow all
2 papers · 2 filters
math.PR2004★ 1 cited
Binary market models with memory
Akihiko Inoue, Yumiharu Nakano, Vo Anh
We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient con…
math.PR2004★ 1 cited
Linear filtering of systems with memory
Akihiko Inoue, Yumiharu Nakano, Vo Van Anh
We study the linear filtering problem for systems driven by continuous Gaussian processes with memory described by two parameters. The driving processes have the virtue that they p…