Filtering for partially observed diffusion and its applications

DOI10.1016/J.PHYSA.2013.06.005MaRDI QIDQ1673260zbMATH OpenOpenAlexFDO

Authors Isao Shoji

Publication date 11 September 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2013.06.005

zbMATH Keywords

parameter estimationfilteringconditional momentspartially observed diffusion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10)

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Cites work

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• scientific article; zbMATH DE number 1767707 (Why is no real title available?)
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• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Filtering via Simulation: Auxiliary Particle Filters
• Numerical simulation of nonlinear dynamical systems driven by commutative noise
• Parameter estimation for partially observed hypoelliptic diffusions
• Particle Filters for Partially Observed Diffusions
• Role of noise in a market model with stochastic volatility
• Stochastic processes and filtering theory
• The dynamics of stochastic volatility: evidence from underlying and options markets

Cited in

(11)

• Volatility estimation of hidden Markov processes and adaptive filtration
• A contrast estimator for completely or partially observed hypoelliptic diffusion
• Unbiased filtering of a class of partially observed diffusions
• Sequential Monte Carlo methods for filtering of unobservable components of multidimensional diffusion Markov processes
• Filterlng of hidden diffusion processes
• scientific article; zbMATH DE number 2015376 (Why is no real title available?)
• A direct approach to deriving filtering equations for diffusion processes
• scientific article; zbMATH DE number 7366345 (Why is no real title available?)
• A recursive robust Bayesian estimation in partially observed financial market
• A filtering problem with uncertainty in observation
• Filtering partially observable diffusions up to the exit time from a domain

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