Matematiikan ja systeemianalyysin laitos


Research reports by Dario Gasbarra

Here are the reports authored by Dario Gasbarra. See the reports of all authors.

Helsinki University of Technology Institute of Mathematics Research Reports A

Dario Gasbarra, Tommi Sottinen, Esko Valkeila
Gaussian bridges   [pdf][ps] abstract: [pdf][ps]
Received 2004-12-31 * Gaussian processes, Brownian bridge, pinned Gaussian processes, tied down Gaussian process, enlargement of filtration, fractional Brownian motion, fractional Brownian bridge * AMS 60G15, 60G18, 60G25, 60G44 * 24 pages
Dario Gasbarra, Esko Valkeila, Lioudmila Vostrikova
Enlargement of filtration and additional information in pricing models: a Bayesian approach   [pdf][ps] abstract: [pdf][ps]
Received 2004-10-22 * dynamical Bayesian modelling, enlargement of filtration, asymmetric information, Levy processes * AMS 60G44, 91B28, 62B10 * 30 pages

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