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Conditioned stochastic differential equations: theory, examples and application to finance

By Fabrice Baudoin
Topics: Brownian bridge, Conditioning, Initial enlargement of Pitman’s 2M-X theorem, Filtering, Portfolio optimization ltration, Exponential generalization of
Year: 2002
OAI identifier: oai:CiteSeerX.psu:10.1.1.194.4414
Provided by: CiteSeerX
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