On Galerkin Approximations for the Zakai Equation with Diffusive and Point Process Observations
We are interested in a nonlinear filtering problem motivated by an information-based approach for modelling the dynamic evolution of a portfolio of credit risky securities. We solve this problem by `change of measure method\\\' and show the existence of the density of the unnormalized condit...
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| Format: | Doctoral Thesis |
| Language: | English |
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Universitätsbibliothek Leipzig
2011
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| Online Access: | http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-65103 http://nbn-resolving.de/urn:nbn:de:bsz:15-qucosa-65103 http://www.qucosa.de/fileadmin/data/qucosa/documents/6510/Galerkin%20approximation.pdf |