Fundamentals of stochastic filtering
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)
Stochastic filtering deals with the problem of estimating an evolving dynamical system customarily modelled by a stochastic process, the signal process. The signal process cannot be observed directly. Instead a second process, the observation process, is known. This observation process is assumed to be a function of the signal and some noise. Mathematically, the inference about the signal means estimation of the conditional distribution of the signal given the observation process. This book provides a rigorous mathematical treatment of the nonlinear stochastic filtering problem with particular emphasis on numerical methods. The text is divided into two parts. The first part lays the theoretical foundations for the topic. It starts by proving that the conditional distribution of the signal can be viewed as a stochastic process with values in the space of probability measures. Then evolution equations are derived and two particular examples, the diffusion case and Markov processes with finite state space, illustrate the theory. Finally, finite-dimensional filters are discussed, such as the Kalman-Bucy filter. The second part focuses on numerical algorithms to solve a given filtering problem. The authors give an overview of existing methods, such as the extended Kalman filter, approximations by finite-dimensional filters, spectral methods and particle filters. Then a detailed discussion of particle methods in continuous as well discrete time are given. The text is essentially self-contained, only some probability theory and basics of stochastic processes are assumed. In an appendice the required results from measure theory and stochastic analysis are stated and proved. Intended readers are researchers and graduate students that have an interest in theoretical aspects of stochastic filtering. The text is supplemented with many exercises and detailed solutions. The authors have taken much care to present the arguments as completely and carefully as possible within the confines of a graduate-level text. The reader is guided through the theory by detailed motivations of the main concepts that make it much easier to understand and appreciate the theory. To sum up, one can say that this book will certainly become a standard reference for teaching and working in the field of stochastic filtering.
- The diffusion kernel filter
- Mathematics of Kalman-Bucy filtering.
- Stochastic filters and generation of stochastic processes
- Reinforcement learning, sequential Monte Carlo and the EM algorithm
- A stochastic partial differential equation model for the pricing of mortgage-backed securities
- Approximation for portfolio optimization in a financial market with shot-noise jumps
- Optimal nonlinear recurrent finite memory filter
- Non-linear filtering and optimal investment under partial information for stochastic volatility models
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
- Random dynamical systems: addressing uncertainty, nonlinearity and predictability
- Optimal investment in markets with over and under-reaction to information
- Second-order recursive filtering on the rigid-motion Lie group \(\mathrm{SE}_3\) based on nonlinear observations
- Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
- Switching cost models as hypothesis tests
- Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
- Finite-dimensional recurrent algorithms for optimal nonlinear logical-dynamical filtering
- Optimal recurrent logical-dynamical finite memory filter
- Importance sampling: intrinsic dimension and computational cost
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Szegő's theorem and its probabilistic descendants
- Mean square integral inequalities for generalized convex stochastic processes via beta function
- Maximum cross section method in the filtering problem for continuous systems with Markovian switching
- Optimal liquidation under partial information with price impact
- Directed chain stochastic differential equations
- A Brownian optimal switching problem under incomplete information
- An optimal recurrent logical-dynamical filter of a high order and its covariance approximations
- Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
- Effective filtering analysis for non-Gaussian dynamic systems
- Limit theorems for cloning algorithms
- EM algorithm for stochastic hybrid systems
- Simultaneous small noise limit for singularly perturbed slow-fast coupled diffusions
- Robust filtering and propagation of uncertainty in hidden Markov models
- On the performance of particle filters with adaptive number of particles
- Feedback particle filter for collective inference
- Stability of non-linear filter for deterministic dynamics
- Bayesian sequential least-squares estimation for the drift of a Wiener process
- Analysis of sparse grid multilevel estimators for multi-dimensional Zakai equations
- An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations
- CTRW modeling of quantum measurement and fractional equations of quantum stochastic filtering and control
- Automated generation of conditional moment equations for stochastic reaction networks
- An L_p-maximal regularity estimate of moments of solutions to second-order stochastic partial differential equations
- Nonlinear filtering of partially observed systems arising in singular stochastic optimal control
- Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
- Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
- Effective filtering for multiscale stochastic dynamical systems driven by Lévy processes
- Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering
- The Hitchhiker's guide to nonlinear filtering
- Weak symmetries of stochastic differential equations driven by semimartingales with jumps
- Compositionally-warped Gaussian processes
- Asset liquidation under drift uncertainty and regime-switching volatility
- Using maximum cross section method for filtering jump-diffusion random processes
- Particle filters with nudging in multiscale chaotic systems: with application to the Lorenz '96 atmospheric model
- The geometry of differential constraints for a class of evolution PDEs
- Symplectic Runge-Kutta discretization of a regularized forward-backward sweep iteration for optimal control problems
- Multilevel particle filters for the non-linear filtering problem in continuous time
- Optimal convergence trading with unobservable pricing errors
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
- Linearized filtering of affine processes using stochastic Riccati equations
- Optimal stopping of a Brownian bridge with an unknown pinning point
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- Nudging the particle filter
- Kernel-based collocation methods for Zakai equations
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
- Tail distribution estimates for one-dimensional diffusion processes
- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- Dynamic credit quality evaluation with social network data
- Generalised particle filters with Gaussian mixtures
- Study of a degenerate elliptic equation in an optimal consumption problem under partial information
- Blended particle methods with adaptive subspaces for filtering turbulent dynamical systems
- Randomised mixture models for pricing kernels
- A geometric framework for stochastic shape analysis
- Momentum-space approach to asymptotic expansion for stochastic filtering
- Large deviations for optimal filtering with fractional Brownian motion
- Variational recursive joint estimation of dense scene structure and camera motion from monocular high speed traffic sequences
- Pathwise stochastic control with applications to robust filtering
- Splitting-up spectral method for nonlinear filtering problems with correlation noises
- Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
- Comparative analysis of particle filters for stochastic systems with continuous and discrete time
- Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric
- Bayesian sequential testing of the drift of a Brownian motion
- Optical flow
- Deterministic mean-field ensemble Kalman filtering
- Optimal liquidation of an asset under drift uncertainty
- Multilevel ensemble Kalman filtering
- Bayesian filtering and smoothing
- Particle filters for random set models
- Dividend maximization in a hidden Markov switching model
- Contagion effects and collateralized credit value adjustments for credit default swaps
- Particle filtering in high-dimensional chaotic systems
- Nonparametric uncertainty quantification for stochastic gradient flows
- Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem
- scientific article; zbMATH DE number 6706346 (Why is no real title available?)
- EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK
- Discrete-time estimation of nonlinear continuous-time stochastic systems
- Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise
- Second Order Minimum Energy Filtering on $${\text {SE}}_{3}$$ with Nonlinear Measurement Equations
- Data assimilation and parameter estimation for a multiscale stochastic system with \(\alpha \)-stable Lévy noise
- scientific article; zbMATH DE number 4211182 (Why is no real title available?)
- The Kalman-Bucy filter for integrable Lévy processes with infinite second moment
This page was built for publication: Fundamentals of stochastic filtering
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q930340)
