Filtering for partially observed diffusion and its applications
DOI10.1016/J.PHYSA.2013.06.005zbMATH Open1395.93546OpenAlexW1975879386MaRDI QIDQ1673260FDOQ1673260
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
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Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Stochastic processes and filtering theory
- Filtering via Simulation: Auxiliary Particle Filters
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- ARCH models as diffusion approximations
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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- Parameter estimation for partially observed hypoelliptic diffusions
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Particle Filters for Partially Observed Diffusions
- Role of noise in a market model with stochastic volatility
- Numerical simulation of nonlinear dynamical systems driven by commutative noise
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Cited In (11)
- Volatility estimation of hidden Markov processes and adaptive filtration
- Unbiased filtering of a class of partially observed diffusions
- A contrast estimator for completely or partially observed hypoelliptic diffusion
- Sequential Monte Carlo methods for filtering of unobservable components of multidimensional diffusion Markov processes
- Filterlng of hidden diffusion processes
- Title not available (Why is that?)
- A direct approach to deriving filtering equations for diffusion processes
- Title not available (Why is that?)
- 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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