Filtering and identification of parabolic type factor model with stochastic volatility

zbMATH Open1196.93086MaRDI QIDQ3582844FDOQ3582844

Authors: Shin Ichi Aihara, Arunabha Bagchi 

Publication date: 24 August 2010

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zbMATH Keywords

identificationmaximum likelihoodestimationfilteringstochastic volatilityparabolic type infinite-dimensional factor model

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Initial-boundary value problems for second-order parabolic equations (35K20) Estimation and detection in stochastic control theory (93E10)

Cited In (1)

• Parameter Estimation of Parabolic Type Factor Model and Empirical Study of US Treasury Bonds

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