4. Mathematics
  5. Probability

Robert Liptser

Mathematics – Probability

Scientist

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Scientist

Tel Aviv University

A filtering approach to tracking volatility from prices observed at random times

Mathematics – Probability
Scientific paper

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A filtering approach to tracking volatility from prices observed at random times

Mathematics – Probability
Scientific paper

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Asymptotic analysis of ruin in CEV model

Mathematics – Probability
Scientific paper

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Asymptotic stability of the Wonham filter for ergodic and nonergodic signals

Mathematics – Probability
Scientific paper

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Bene$\check{\bf S}$ condition for discontinuous exponential martingale

Mathematics – Probability
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