Nonlinear filtering for jump diffusion observations

DOI10.1239/AAP/1346955260zbMATH Open1251.93123OpenAlexW1996523339MaRDI QIDQ3167334FDOQ3167334

Authors: Claudia Ceci, Katia Colaneri 

Publication date: 2 November 2012

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1346955260

Recommendations

• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
• Nonlinear filtering equation of a jump process with counting observations
• Non–linear filtering of diffusion processes with discontinuous observations
• Filtering of a Markov jump process with counting observations
• scientific article; zbMATH DE number 4095357

zbMATH Keywords

filteringjump diffusion process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Diffusion processes (60J60)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bond Market Structure in the Presence of Marked Point Processes
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• Unique characterization of conditional distributions in nonlinear filtering
• Filtering of a Markov jump process with counting observations
• Title not available (Why is that?)
• Risk minimizing hedging for a partially observed high frequency data model
• A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
• On the unnormalized solution of the filtering problem with counting process observations
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
• Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
• Optimal Control for Partially Observed Diffusions
• Existence of an Optimal Markovian Filter for the Control under Partial Observations
• Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems
• Mixed control problem under partial observation

Cited In (37)

• Nonlinear filtering for jump-diffusions
• Filtering of a Markov jump process with counting observations
• Threshold selection in jump-discriminant filter for discretely observed jump processes
• Estimation of anthracnose dynamics by nonlinear filtering
• Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method
• Title not available (Why is that?)
• Nonlinear filtering with correlated Lévy noise characterized by copulas
• Duality in optimal consumption-investment problems with alternative data
• Optimal Investment-consumption for Partially Observed Jump-diffusions
• Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
• JUMP PROCESSES UNDER PARTIAL OBSERVATIONS: FINITE STATE APPROXIMATION
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• Indifference pricing of pure endowments via BSDEs under partial information
• Statistical inference for the intensity in a partially observed jump diffusion
• Implicit incentives for fund managers with partial information
• On partially observed jump diffusions. II: The filtering density
• Uniqueness for measure-valued equations of nonlinear filtering for stochastic dynamical systems with Lévy noise
• On absolutely continuous compensators and nonlinear filtering equations in default risk models
• Using maximum cross section method for filtering jump-diffusion random processes
• Non–linear filtering of diffusion processes with discontinuous observations
• A benchmark approach to risk-minimization under partial information
• Nonlinear filtering equation of a jump process with counting observations
• A BSDE-based approach for the optimal reinsurance problem under partial information
• Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise
• Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
• Optimal reduction of public debt under partial observation of the economic growth
• A quantum extended Kalman filter
• Nonlinear filtering of stochastic differential equations with correlated Lévy noises
• Continuous finite-dimensional locally optimal filtering of jump diffusions
• Nonlinear filtering equations for stochastic processes with jumps
• Nonlinear filtering of partially observed systems arising in singular stochastic optimal control
• The Föllmer–Schweizer decomposition under incomplete information
• Optimal liquidation under partial information with price impact
• Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
• On a New Approach to the Solution of the Nonlinear Filtering Equation of Jump Processes
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
• Optimal reinsurance via BSDEs in a partially observable model with jump clusters

This page was built for publication: Nonlinear filtering for jump diffusion observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3167334)