作者：Biagini, S; Frittelli, M
作者单位：University of Perugia; University of Florence
摘要：In an incomplete market the price of a claim f in general cannot be uniquely identified by no arbitrage arguments. However, the classical super replication price is a sensible indicator of the (maximum selling) value of the claim. When f satisfies certain pointwise conditions (e.g., f is bounded from below), the super replication price is equal to sup(Q) E-Q[f], where Q varies on the whole set of pricing measures. Unfortunately, this price is often too high: a typical situation is here discuss...
作者：Chigansky, P; Liptser, R
作者单位：Tel Aviv University
摘要：The nonlinear filtering equation is said to be stable if it forgets the initial condition. It is known that the filter might be unstable even if the signal is an ergodic Markov chain. In general, the filtering stability requires stronger signal ergodicity provided by the, so called, mixing condition. The latter is formulated in terms of the transition probability density of the signal. The most restrictive requirement of the mixing condition is the uniform positiveness of this density. We show...
