Asymptotic expansion for a filtering problem and a short term rate model

DOI10.1007/4-431-34342-3_3zbMATH Open1196.60068OpenAlexW113834657MaRDI QIDQ3564004FDOQ3564004

Authors: Hirotaka Fushiya 

Publication date: 2 June 2010

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/4-431-34342-3_3

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zbMATH Keywords

asymptotic expansionnonlinearFiltering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Estimation and detection in stochastic control theory (93E10)

Cited In (1)

• Momentum-space approach to asymptotic expansion for stochastic filtering

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