Nonlinear filtering for jump-diffusions

DOI10.1016/j.cam.2005.11.014zbMath1152.60037OpenAlexW2035609928MaRDI QIDQ2433774

Darja Rupnik Poklukar

Publication date: 30 October 2006

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2005.11.014

zbMATH Keywords

nonlinear filteringPoisson processjump-diffusionsmeasure transformation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integral equations (60H20)

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Cites Work

• On measure transformations for combined filtering and parameter estimation in discrete time
• Robustness and convergence of approximations to nonlinear filters for jump-diffusions
• Risk sensitive filtering with Poisson process observations
• Filtering of a Markov jump process with counting observations
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
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