A closed-form solution to the discrete-time Kalman filter and its applications

2010 ◽  
Vol 59 (12) ◽  
pp. 799-805 ◽  
Author(s):  
Soohee Han
Keyword(s):  
Kalman Filter ◽  
Closed Form ◽  
Discrete Time ◽  
Closed Form Solution ◽  
Form Solution

scholarly journals Closed-form solution of discrete-time optimal control and its convergence

2018 ◽  
Vol 12 (3) ◽  
pp. 413-418 ◽  
Author(s):  
Hehong Zhang ◽  
Yunde Xie ◽  
Gaoxi Xiao ◽  
Chao Zhai
Keyword(s):  
Optimal Control ◽  
Closed Form ◽  
Discrete Time ◽  
Closed Form Solution ◽  
Form Solution ◽  
Time Optimal Control ◽  
Time Optimal

THE PRICING OF MORTALITY-LINKED CONTINGENT CLAIMS: AN EQUILIBRIUM APPROACH

2013 ◽  
Vol 43 (2) ◽  
pp. 97-121 ◽  
Author(s):  
Jeffrey T. Tsai ◽  
Larry Y. Tzeng
Keyword(s):  
Mortality Rate ◽  
Normal Distribution ◽  
Closed Form ◽  
Discrete Time ◽  
Closed Form Solution ◽  
Contingent Claims ◽  
Form Solution ◽  
Equilibrium Approach ◽  
Risk Free Rate ◽  
Free Rate

AbstractThis study introduces an equilibrium approach to price mortality-linked securities in a discrete time economy, assuming that the mortality rate has a transformed normal distribution. This pricing method complements current studies on the valuation of mortality-linked securities, which only have discrete trading opportunities and insufficient market trading data. Like the Wang transform, the valuation relationship is still risk-neutral (preference-free) and the mortality-linked security is priced as the expected value of its terminal payoff, discounted by the risk-free rate. This study provides an example of pricing the Swiss Re mortality bond issued in 2003 and obtains an approximated closed-form solution.

A Closed Form Solution for Discrete-Time Linear-Quadratic Nash Games

1987 ◽  
Vol 20 (9) ◽  
pp. 425-429
Author(s):  
H. Abou-kandil ◽  
P. Bertrand ◽  
M. Drouin
Keyword(s):  
Closed Form ◽  
Discrete Time ◽  
Closed Form Solution ◽  
Form Solution ◽  
Linear Quadratic ◽  
Nash Games ◽  
Time Linear
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