28 results
Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
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- Journal of Applied Probability / Volume 60 / Issue 3 / September 2023
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- 21 February 2023, pp. 874-894
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- September 2023
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Optimal entry and consumption under habit formation
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- Advances in Applied Probability / Volume 54 / Issue 2 / June 2022
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- 10 March 2022, pp. 433-459
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- June 2022
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Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
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- Journal of Applied Probability / Volume 58 / Issue 1 / March 2021
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- 25 February 2021, pp. 197-216
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- March 2021
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Stability with respect to initial conditions in V-norm for nonlinear filters with ergodic observations
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- Journal of Applied Probability / Volume 54 / Issue 1 / March 2017
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- 04 April 2017, pp. 118-133
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- March 2017
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The sound of silence: equilibrium filtering and optimal censoring in financial markets
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- Advances in Applied Probability / Volume 48 / Issue A / July 2016
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- 25 July 2016, pp. 119-144
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- July 2016
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Partially informed investors: hedging in an incomplete market with default
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- Journal of Applied Probability / Volume 52 / Issue 3 / September 2015
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- 30 March 2016, pp. 718-735
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- September 2015
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The Kalman-Bucy filter for integrable Lévy processes with infinite second moment
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- Journal of Applied Probability / Volume 52 / Issue 3 / September 2015
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- 30 March 2016, pp. 636-648
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- September 2015
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The stochastic filtering problem: a brief historical account
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- Journal of Applied Probability / Volume 51 / Issue A / December 2014
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- 30 March 2016, pp. 13-22
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- December 2014
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An Implicit Algorithm of Solving Nonlinear Filtering Problems
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- Communications in Computational Physics / Volume 16 / Issue 2 / August 2014
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- 03 June 2015, pp. 382-402
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- August 2014
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Nonlinear Filtering for Jump Diffusion Observations
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- Advances in Applied Probability / Volume 44 / Issue 3 / September 2012
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- 04 January 2016, pp. 678-701
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- September 2012
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On the conditional distributions of spatial point processes
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- Advances in Applied Probability / Volume 43 / Issue 2 / June 2011
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- 01 July 2016, pp. 301-307
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- June 2011
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Monte Carlo methods for backward equations in nonlinear filtering
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- Advances in Applied Probability / Volume 41 / Issue 1 / March 2009
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- 01 July 2016, pp. 63-100
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- March 2009
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Uniform approximations of discrete-time filters
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- Advances in Applied Probability / Volume 40 / Issue 4 / December 2008
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- 01 July 2016, pp. 979-1001
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- December 2008
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Controlled Heterogeneous Collection: The Role of Occupation Numbers
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- Journal of Applied Probability / Volume 45 / Issue 3 / September 2008
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- 14 July 2016, pp. 595-609
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- September 2008
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On the Relationships Between Lumpability and Filtering of Finite Stochastic Systems
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- Journal of Applied Probability / Volume 45 / Issue 3 / September 2008
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- 14 July 2016, pp. 650-669
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- September 2008
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A uniformly convergent adaptive particle filter
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- Journal of Applied Probability / Volume 42 / Issue 4 / December 2005
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- 14 July 2016, pp. 1053-1068
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- December 2005
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Recursive filters for partially observable finite Markov chains
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- Journal of Applied Probability / Volume 42 / Issue 3 / September 2005
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- 14 July 2016, pp. 684-697
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- September 2005
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Multitype branching processes observing particles of a given type
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- Journal of Applied Probability / Volume 42 / Issue 2 / June 2005
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- 14 July 2016, pp. 446-462
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- June 2005
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Heterogeneous population dynamical model: a filtering problem
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- Journal of Applied Probability / Volume 42 / Issue 2 / June 2005
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- 14 July 2016, pp. 346-361
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- June 2005
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Poisson approximation for some point processes in reliability
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- Advances in Applied Probability / Volume 36 / Issue 2 / June 2004
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- 01 July 2016, pp. 455-470
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- June 2004
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