Applying the EKF to stochastic differential equations with level effects

DOI10.1016/S0005-1098(00)00128-XzbMath0982.93070OpenAlexW2000275211WikidataQ126471509 ScholiaQ126471509MaRDI QIDQ1592900

Henrik Madsen, Jan Nygaard Nielsen

Publication date: 1 May 2001

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0005-1098(00)00128-x

zbMATH Keywords

nonlinear filteringtransformationmultiplicative noisestochastic modelling

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Transformations (93B17)

Related Items (6)

Parameter Estimation in Stochastic Differential Equations ⋮ Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview ⋮ Sonar-based robot navigation using nonlinear robust observers ⋮ Estimation of parameters in mean-reverting stochastic systems ⋮ Parameter estimation in stochastic grey-box models. ⋮ Sonar-based robot navigation using non-linear robust discrete-time observers

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Stochastic models, estimation, and control. Vol. 2,3
• Stochastic processes and filtering theory
• Two singular diffusion problems
• ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Applying the EKF to stochastic differential equations with level effects