Fundamentals of stochastic filtering
From MaRDI portal
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
Recommendations
Cited in
(only showing first 100 items - show all)- scientific article; zbMATH DE number 6706346 (Why is no real title available?)
- Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE
- Data assimilation and parameter estimation for a multiscale stochastic system with \(\alpha \)-stable Lévy noise
- Maximum cross section method in the filtering problem for continuous systems with Markovian switching
- Applying the Spectral Method for Modeling Linear Filters: Bessel, Papoulis, and Legendre Filters
- Analysis of the ensemble Kalman-Bucy filter for correlated observation noise
- Perron–Frobenius Operator Filter for Stochastic Dynamical Systems
- EM algorithm for stochastic hybrid systems
- Filtering dynamical systems using observations of statistics
- Nudging the particle filter
- Estimation of anthracnose dynamics by nonlinear filtering
- On the mean field theory of ensemble Kalman filters for SPDEs
- Antithetic multilevel methods for elliptic and hypoelliptic diffusions with applications
- Brownian bridge with random length and pinning point for modelling of financial information
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- Mathematics of Kalman-Bucy filtering
- A geometric framework for stochastic shape analysis
- Optimal liquidation of an asset under drift uncertainty
- Measure Theory and Filtering
- scientific article; zbMATH DE number 6892595 (Why is no real title available?)
- A Brownian optimal switching problem under incomplete information
- On the performance of particle filters with adaptive number of particles
- An optimal recurrent logical-dynamical filter of a high order and its covariance approximations
- Bayesian learning for the Markowitz portfolio selection problem
- Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method
- Optimal projection filters with information geometry
- The geometry of differential constraints for a class of evolution PDEs
- Mean Field Games with Partial Observation
- An introduction to stochastic filtering theory.
- CTRW modeling of quantum measurement and fractional equations of quantum stochastic filtering and control
- Automated generation of conditional moment equations for stochastic reaction networks
- Duality in optimal consumption-investment problems with alternative data
- Uncertainty over uncertainty in environmental policy adoption: Bayesian learning of unpredictable socioeconomic costs
- Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric
- A Data Concealing Technique with Random Noise Disturbance and a Restoring Technique for the Concealed Data by Stochastic Process Estimation
- Monotonicity and robustness in Wiener disorder detection
- Accuracy of some approximate Gaussian filters for the Navier-Stokes equation in the presence of model error
- Stochastic filters and generation of stochastic processes
- Contagion effects and collateralized credit value adjustments for credit default swaps
- Reinforcement learning, sequential Monte Carlo and the EM algorithm
- Approximation for portfolio optimization in a financial market with shot-noise jumps
- Asymptotic behavior of the forecast-assimilation process with unstable dynamics
- Robust filtering: correlated noise and multidimensional observation
- Rough semimartingales and p-variation estimates for martingale transforms
- Study of a degenerate elliptic equation in an optimal consumption problem under partial information
- Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
- Joint online parameter estimation and optimal sensor placement for the partially observed stochastic advection-diffusion equation
- On repeated games with imperfect public monitoring: from discrete to continuous time
- Dynamic credit quality evaluation with social network data
- Comparison of viscosity solutions for a class of second-order PDEs on the Wasserstein space
- Mean field equilibrium asset pricing model under partial observation: an exponential quadratic Gaussian approach
- Variational recursive joint estimation of dense scene structure and camera motion from monocular high speed traffic sequences
- Effective filtering for slow-fast systems via Wong-Zakai approximation
- Optimal recurrent logical-dynamical finite memory filter
- Optimal stopping of a Brownian bridge with an unknown pinning point
- Particle filters for random set models
- Analysis of a sequential Monte Carlo method for optimization in dynamical systems
- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- Fractional integral inequalities of Hermite-Hadamard type for P-convex and quasi-convex stochastic process
- Multilevel particle filters for a class of partially observed piecewise deterministic Markov processes
- A hybrid ensemble transform particle filter for nonlinear and spatially extended dynamical systems
- Average preserving variation processes in view of optimization
- Importance sampling: intrinsic dimension and computational cost
- Stochastic filtering methods in electronic trading
- Tail distribution estimates for one-dimensional diffusion processes
- Stability of the optimal filter in continuous time: beyond the Beneš filter
- Efficient nonlinear filtering of a singularly perturbed stochastic hybrid system
- Data assimilation: the Schrödinger perspective
- A unification of weighted and unweighted particle filters
- Particle Filters for nonlinear data assimilation in high-dimensional systems
- Kernel-based collocation methods for Zakai equations
- Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise
- A Wong-Zakai approximation for effective filtering of a class of stochastic evolutionary equation
- EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK
- Second Order Minimum Energy Filtering on $${\text {SE}}_{3}$$ with Nonlinear Measurement Equations
- Asymptotic expansions of evolution equations with fast volatility
- Filtering the Maximum Likelihood for Multiscale Problems
- Dividend maximization in a hidden Markov switching model
- Large deviations for optimal filtering with fractional Brownian motion
- Dimension reduction in statistical estimation of partially observed multiscale processes
- Optimal nonlinear recurrent finite memory filter
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- Parameter uncertainty in the Kalman-Bucy filter
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- A particle filter for stochastic advection by Lie transport: a case study for the damped and forced incompressible two-dimensional Euler equation
- Effective filtering analysis for non-Gaussian dynamic systems
- On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
- Filtering theory: mathematics in engineering, from Gauß to particle filters
- The sound of silence: equilibrium filtering and optimal censoring in financial markets
- Portfolio optimization for a large investor controlling market sentiment under partial information
- Estimation algorithm for system with non-Gaussian multiplicative/additive noises based on variational Bayesian inference
- Executive stock option exercise with full and partial information on a drift change point
- Optical flow
- Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models
- Bayesian sequential testing of the drift of a Brownian motion
- Stable approximation schemes for optimal filters
- Perturbation analysis for investment portfolios under partial information with expert opinions
- Discrete-time estimation of nonlinear continuous-time stochastic systems
- Weak symmetries of stochastic differential equations driven by semimartingales with jumps
- Long-term stability of sequential Monte Carlo methods under verifiable conditions
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)
