Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance

DOI10.1080/07362990802678846zbMath1221.60057WikidataQ60920727 ScholiaQ60920727MaRDI QIDQ3625462

Miguel Martinez, Sylvain Rubenthaler, Etienne Tanré

Publication date: 5 May 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990802678846

zbMATH Keywords

filtering; applications in optimization

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

91G80: Financial applications of other theories

46N10: Applications of functional analysis in optimization, convex analysis, mathematical programming, economics

Cites Work

• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Unique characterization of conditional distributions in nonlinear filtering
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• Filtering for nonlinear systems driven by nonwhite noises:an approximation scheme
• Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• On Optimum Methods in Quickest Detection Problems
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