Filtering of a reflected Brownian motion with respect to its local time

Giovanna Nappo and Barbara Torti

Stochastic Processes and their Applications, 2006, vol. 116, issue 4, 568-584

Abstract: We consider a filtering problem when the state process is a reflected Brownian motion Xt and the observation process is its local time [Lambda]s, for s

Keywords: Brownian; motion; Local; time; Nonlinear; filtering; Approximation; Counting; processes; Reflection; principle; Skorohod; problem (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(05)00191-2
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:116:y:2006:i:4:p:568-584

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().