This paper uses martingale calculus in order to study multiplicative Kac functionals. Probabilistic representation of a solution of the Schrodinger equation with non necessarily negative potential is obtained. Necessary and sufficient conditions for the a.s. convergence and the a.s. divergence...

This article describes a general methodology that can be used for financial risk management. The approach is based on the model of Heath et al. (1992) of term structure movements but deals with the case of incomplete market. Both, domestic and foreign economies are investigated. Prices of...

The problem of optimal linear estimation for continuous time processes is investigated. The signal and observation processes are solutions of a linear system. The optimal filter is given by recursive equations which reduce to the classical Kalman-Bucy equations when the system is driven by...