Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises

DOI10.1016/S0304-4149(98)00037-4MaRDI QIDQ1805792zbMATH OpenWikidataFDO

Authors Marco Ferrante, Paolo Vidoni

Publication date 18 November 1999

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4149(98)00037-4

zbMATH Keywords

finite dimensional filtersproduct of positive random variablesstochastic difference equationsstochastic filtering

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Filtering in stochastic control theory (93E11)

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Cites work

• Exact finite-dimensional filters for certain diffusions with nonlinear drift
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• scientific article; zbMATH DE number 3954119 (Why is no real title available?)
• scientific article; zbMATH DE number 3763866 (Why is no real title available?)
• scientific article; zbMATH DE number 3620755 (Why is no real title available?)
• Local scale models. State space alternative to integraded GARCH processes
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• On necessary conditions for the existence of finite-dimensional filters in discrete time
• Some Properties of Beta and Gamma Distributions
• Stochastic processes and filtering theory

Cited in

(12)

• Particle filtering approximations for a Gaussian-generalized inverse Gaussian model
• On some finite dimensional nonlinear filters for certain diffusions observed in correlated noise
• A Gaussian-generalized inverse Gaussian finite-dimensional filter.
• Exact inference for a class of hidden Markov models on general state spaces
• A new filtering inference procedure for a GED state-space volatility model
• Modeling volatility using state space models with heavy tailed distributions
• Pairwise Likelihood Inference for General State Space Models
• scientific article; zbMATH DE number 6936844 (Why is no real title available?)
• Approximate filtering via discrete dual processes
• A Stochastic Volatility Model With Realized Measures for Option Pricing
• Computable infinite-dimensional filters with applications to discretized diffusion processes
• Method of construction of finite-dimensional filters for a class of stochastic differential systems

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