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作者：Chigansky, Pavel; van Handel, Ramon
作者单位：Hebrew University of Jerusalem; Princeton University
摘要：We develop necessary and sufficient conditions for uniqueness of the invariant measure of the filtering process associated to an ergodic hidden Markov model in a finite or countable state space. These results provide a complete solution to a problem posed by Blackwell (1957), and subsume earlier partial results due to Kaijser, Kochman and Reeds. The proofs of our main results are based on the stability theory of nonlinear filters.
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作者：Kabluchko, Zakhar
作者单位：University of Gottingen
摘要：We describe all countable particle systems on R which have the following three properties: independence, Gaussianity and stationarity. More precisely, we consider particles on the real line starting at the points of a Poisson point process with intensity measure m and moving independently of each other according to the law of some Gaussian process xi. We classify all pairs (m, xi) generating a stationary particle system, obtaining three families of examples. In the first, trivial family, the m...
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作者：Kallsen, J.; Muhle-Karbe, J.
作者单位：University of Kiel; University of Vienna
摘要：We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor process.
