Browsing by Subject "Kalman-Bucy filtering"

Browsing by Subject "Kalman-Bucy filtering"

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  • Sewe, Stanley; Ngare, Philip; Weke, Patrick (Elsevier, 2021-09)
    In this article, we seek to solve the problem of stochastic filtering of the unobserved drift of the stock price in the presence of privileged information. Working within a finite time investment horizon, the privileged ...

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