Kalman-Bucy Filtering for Linear Systems Driven by the Cox...

Journal of Applied Probability 2005 / 03 Vol. 42; Iss. 1

Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts

Dassios, Angelos, Jang, Ji-Wook
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Volume:
42
Language:
english
Journal:
Journal of Applied Probability
DOI:
10.1017/s0021900200000085
Date:
March, 2005
File:
PDF, 163 KB
english, 2005
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