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- Rajeeva L. Karandikar, Vidyadhar G. Kulkarni
- Operations Research
- 1995

An attractive candidate for the geometric mean of m positive definite matrices A 1 ,. .. , A m is their Riemannian barycentre G. One of its important properties, monotonicity in the m arguments, has been established recently by J. Lawson and Y. Lim. We give a much simpler proof of this result, and prove some other inequalities. One of these says that, for… (More)

We consider the nonlinear filtering model with Ornstein-Uhlenbeck process as noise and obtain an analogue of the Bayes' formula for the filter. For this we need to consider a modified model, where the instaneteneous effect h(X t) of the signal in the usual model is replaced by ξ α t = α t (t− 1 α)∨0 h(X u) du, (where α is a large parameter). This means that… (More)

- Ajay Shah, Renuka Sane, +4 authors Urvish Bidkar
- 2003

There is a considerable consensus that over the multi-decade horizons encountered in pension investment, there are enormous gains which can be obtained through portfolios of corporate bonds and equities , instead of a focus on government bonds. However, such investment strategies do impose greater uncertainty upon the worker about post-retirement… (More)

India's banking system is characterised by high leverage, a subsidised safety net run by the State and the lack of a mechanism for closure of weak banks. In this paper, we obtain empirical estimates for the extent of leverage present, the stock of assets required to recapitalise the banking system, and the subsidy implicit in the existing safety net. We… (More)

It is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale problem is well-posed in the class of solutions which are continuous in probability. This extension is used to improve… (More)

We consider a signal process X taking values in a complete, separable metric space E. X is assumed to be a Markov process charachterized via the martingale problem for an operator A. In the context of the finitely additive white noise theory of filtering, we show that the optimal filter Γ t (y) is the unique solution of the analogue of the Zakai equation… (More)

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