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

DOI10.1007/4-431-34342-3_3MaRDI QIDQ3564004zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(1)

• Momentum-space approach to asymptotic expansion for stochastic filtering

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