Nonlinear filtering for jump diffusion observations
From MaRDI portal
Publication:3167334
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
Cites work
- scientific article; zbMATH DE number 5919853 (Why is no real title available?)
- scientific article; zbMATH DE number 5871504 (Why is no real title available?)
- scientific article; zbMATH DE number 3718234 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 3383329 (Why is no real title available?)
- A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- Bond Market Structure in the Presence of Marked Point Processes
- Existence of an Optimal Markovian Filter for the Control under Partial Observations
- Filtering of a Markov jump process with counting observations
- Mixed control problem under partial observation
- On the unnormalized solution of the filtering problem with counting process observations
- Optimal Control for Partially Observed Diffusions
- Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
- Risk minimizing hedging for a partially observed high frequency data model
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
- Unique characterization of conditional distributions in nonlinear filtering
Cited in
(37)- Filtering of a Markov jump process with counting observations
- Threshold selection in jump-discriminant filter for discretely observed jump processes
- Nonlinear filtering for jump-diffusions
- Optimal reinsurance via BSDEs in a partially observable model with jump clusters
- Estimation of anthracnose dynamics by nonlinear filtering
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- scientific article; zbMATH DE number 6892595 (Why is no real title available?)
- Solving nonlinear filtering problems with correlated noise based on Hermite-Galerkin spectral method
- Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
- Duality in optimal consumption-investment problems with alternative data
- Optimal Investment-consumption for Partially Observed Jump-diffusions
- Unit-linked life insurance policies: optimal hedging in partially observable market models
- JUMP PROCESSES UNDER PARTIAL OBSERVATIONS: FINITE STATE APPROXIMATION
- 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
- On absolutely continuous compensators and nonlinear filtering equations in default risk models
- Uniqueness for measure-valued equations of nonlinear filtering for stochastic dynamical systems with Lévy noise
- 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
- 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
- Nonlinear filtering equation of a jump process with counting observations
- 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
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
- On a New Approach to the Solution of the Nonlinear Filtering Equation of Jump Processes
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)
