Filtering for partially observed diffusion and its applications (Q1673260): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.physa.2013.06.005
+Normal rank
@@ Property / OpenAlex ID @@
+W1975879386
@@ Property / OpenAlex ID: W1975879386 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
+Normal rank
@@ Property / cites work @@
+The dynamics of stochastic volatility: evidence from underlying and options markets
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Estimating stochastic volatility diffusion using conditional moments of integrated volatility
+Normal rank
@@ Property / cites work @@
+Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
+Normal rank
@@ Property / cites work @@
+Particle Filters for Partially Observed Diffusions
+Normal rank
@@ Property / cites work @@
+Filtering via Simulation: Auxiliary Particle Filters
+Normal rank
@@ Property / cites work @@
+Parameter Estimation for Partially Observed Hypoelliptic Diffusions
+Normal rank
@@ Property / cites work @@
+Q4538693
@@ Property / cites work: Q4538693 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic processes and filtering theory
@@ Property / cites work: Stochastic processes and filtering theory / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical simulation of nonlinear dynamical systems driven by commutative noise
+Normal rank
@@ Property / cites work @@
+Role of noise in a market model with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank