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Robust Limits of Risk Sensitive Nonlinear Filters

โœ Scribed by Wendell H. Fleming; William M. McEneaney


Publisher
Springer
Year
2001
Tongue
English
Weight
305 KB
Volume
14
Category
Article
ISSN
0932-4194

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Merton's model views equity as a call option on the asset of the firm. Thus the asset is partially observed through the equity. Then using nonlinear filtering an explicit expression for likelihood ratio for underlying parameters in terms of the nonlinear filter is obtained. As the evolution of the f