WEKO3
アイテム
A Representation Theorem on a Filtering Model with First-Passage-Type Stopping Time
http://hdl.handle.net/2261/72178
http://hdl.handle.net/2261/7217849436c78-5642-4cb6-85f1-39ac1efc3815
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
jms230206.pdf (252.5 kB)
|
|
| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-04-13 | |||||
| タイトル | ||||||
| タイトル | A Representation Theorem on a Filtering Model with First-Passage-Type Stopping Time | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Information | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | hazard process of default time | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | intensity | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | filtration | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_6501 | |||||
| タイプ | departmental bulletin paper | |||||
| 著者 |
Nakashima, Takenobu
× Nakashima, Takenobu |
|||||
| 著者所属 | ||||||
| 著者所属 | Nomura Securities CO., LTD. Global Markets Research Japan | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | We present a representation theorem for a filtering model with first-passage-type stopping time. The model is constructed from two unobservable processes and one observable process that is under the influence of two unobservable processes. A filter is constructed using Brownian motion in the observable process and a first-passage-type stopping time in an unobservable process. Though our theorems are similar to those of Nakagawa[5], we do not use pinned Brownian motion measure, which is difficult to deal with. In addition, we describe a representation theorem for another filtration that was not discussed by Nakagawa[5]. | |||||
| 書誌情報 |
Journal of mathematical sciences, the University of Tokyo 巻 23, 号 2, p. 529-568, 発行日 2016-02-25 |
|||||
| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 13405705 | |||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11021653 | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 415 | |||||
| Mathematical Reviews Number | ||||||
| MR | ||||||
| Mathmatical Subject Classification | ||||||
| 60G35(MSC2010) | ||||||
| Mathmatical Subject Classification | ||||||
| 60H05(MSC2010) | ||||||
| Mathmatical Subject Classification | ||||||
| 60H30(MSC2010) | ||||||
| Mathmatical Subject Classification | ||||||
| 60J75(MSC2010) | ||||||
| 出版者 | ||||||
| 出版者 | Graduate School of Mathematical Sciences, The University of Tokyo | |||||
| 原稿受領日 | ||||||
| 2014-11-17 | ||||||
