2 citations · 3 across the 8 of their papers we have counts for
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math.PR2019
Utility maximisation and time-change
Giulia Di Nunno, Hannes Haferkorn, Asma Khedher +1
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian mot…
stat.CO2019★ 1 cited
A Kalman particle filter for online parameter estimation with applications to affine models
Jian He, Asma Khedher, Peter Spreij
In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an…