Luo, Shangzhen Filtering of a multi-dimension stochastic volatility model. (English) Zbl 1217.60032 Stochastic Anal. Appl. 29, No. 3, 407-423 (2011). MSC: 60G35 60J05 91G80 PDFBibTeX XMLCite \textit{S. Luo}, Stochastic Anal. Appl. 29, No. 3, 407--423 (2011; Zbl 1217.60032) Full Text: DOI
Luo, Shangzhen Multi-period asset allocation under hidden markovianly driven noises. (English) Zbl 1125.60034 Stochastic Anal. Appl. 25, No. 5, 1057-1078 (2007). MSC: 60G35 60J05 91G10 PDFBibTeX XMLCite \textit{S. Luo}, Stochastic Anal. Appl. 25, No. 5, 1057--1078 (2007; Zbl 1125.60034) Full Text: DOI