Continuous-time linear models
Foundations and Trends in Finance 6 (2011), 165-219. How to do ARMA models, opreator tricks, and Hansen-Sargent prediction formulas in continuous time.
Foundations and Trends in Finance 6 (2011), 165-219. How to do ARMA models, opreator tricks, and Hansen-Sargent prediction formulas in continuous time.