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Linear filtering of systems with memory

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Title: Linear filtering of systems with memory
Authors: Inoue, Akihiko Browse this author
Nakano, Yumiharu Browse this author
Anh, Vo Browse this author
Keywords: Filtering
systems with memory
stationary increment processes
innovation processes
Gaussian processes
portfolio optimization
Issue Date: 2004
Publisher: Department of Mathematics, Hokkaido University
Journal Title: Hokkaido University Preprint Series in Mathematics
Volume: 657
Start Page: 1
End Page: 25
Abstract: We study the linear filtering problem for systems driven by continuous Gaussian processes V1 and V2 with memory described by two parameters. The processes Vj have the virtue that they possess stationary increments and simple semimartingale representations simultaneously. It allows for straightforward parameter estimations. After giving the semimartingale representations of Vj by innovation theory, we derive Kalman-Bucy-type filtering equations for the systems. We apply the result to the optimal portfolio problem for an investor with partial observations. We illustrate the tractability of the filtering algorithm by numerical implementations.
Type: bulletin (article)
Appears in Collections:理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics

Submitter: 数学紀要登録作業用

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