Cvitanic, Jaksa; Liptser, Robert; Rozovskii, Boris - arXiv.org - 2005
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $ S=(S_{t})_{t\geq0} $ is given by \[ dS_{t}=r(\theta_{t})S_{t}dt+v(\theta_{t})S_{t}dB_{t}, \] where...