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Research reports by Dario Gasbarra

Here are the reports authored by Dario Gasbarra. See the reports of all authors.

Helsinki University of Technology Institute of Mathematics Research Reports A

A481

Dario Gasbarra, Tommi Sottinen, Esko Valkeila

Gaussian bridges   [pdf][ps] abstract: [pdf][ps]

Received 2004-12-31 * Gaussian processes, Brownian bridge, pinned Gaussian processes, tied down Gaussian process, enlargement of filtration, fractional Brownian motion, fractional Brownian bridge * AMS 60G15, 60G18, 60G25, 60G44 * 24 pages

A476

Dario Gasbarra, Esko Valkeila, Lioudmila Vostrikova

Enlargement of filtration and additional information in pricing models: a Bayesian approach   [pdf][ps] abstract: [pdf][ps]

Received 2004-10-22 * dynamical Bayesian modelling, enlargement of filtration, asymmetric information, Levy processes * AMS 60G44, 91B28, 62B10 * 30 pages