An Ornstein-Uhlenbeck-Type Process Which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure
From MaRDI portal
Publication:2841781
DOI10.1007/978-1-4614-5906-4_8MaRDI QIDQ2841781
Kazuhiro Yasuda, Arturo Kohatsu-Higa
Publication date: 30 July 2013
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4614-5906-4_8
62-XX: Statistics
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
Related Items
Cites Work
- Unnamed Item
- Lower bounds for the density of locally elliptic Itô processes
- High order Itô-Taylor approximations to heat kernels
- LAN property for ergodic diffusions with discrete observations
- The Malliavin Calculus and Related Topics
- Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process
- The euler scheme for anticipating stochastic differential equations
- Ergodicity for Infinite Dimensional Systems
- Stochastic volatility models as hidden Markov models and statistical applications