Applying the EKF to stochastic differential equations with level effects

DOI10.1016/S0005-1098(00)00128-XMaRDI QIDQ1592900zbMATH OpenOpenAlexWikidataFDO

Authors Jan Nygaard Nielsen, Henrik Madsen

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

multiplicative noisenonlinear filteringstochastic modellingtransformation

Mathematics Subject Classification ID

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

Review text

The authors consider a nonlinear filtering problem for a model with multiplicative noise. For a restricted class of systems of stochastic differential equations, they propose a transformation such that the transformed system is a system with additive noise.

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Cites work

• ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• Stochastic differential equations. An introduction with applications.
• Stochastic models, estimation, and control. Vol. 2,3
• Stochastic processes and filtering theory
• The pricing of options and corporate liabilities
• Two singular diffusion problems

Cited in

(6)

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

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