Momentum-space approach to asymptotic expansion for stochastic filtering
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Publication:2434137
DOI10.1007/s10463-013-0405-1zbMath1281.62214arXiv1209.1893OpenAlexW3125072188MaRDI QIDQ2434137
Publication date: 17 February 2014
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.1893
Inference from stochastic processes and prediction (62M20) Numerical methods for discrete and fast Fourier transforms (65T50)
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Cites Work
- Dimension-wise integration of high-dimensional functions with applications to finance
- Fundamentals of stochastic filtering
- An asymptotic expansion approach to pricing financial contingent claims
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Malliavin calculus and asymptotic expansion for martingales
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME
- Exact finite-dimensional filters for certain diffusions with nonlinear drift
- Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
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