Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches

DOI10.1080/10629360600870289zbMATH Open1136.62373OpenAlexW2093125922MaRDI QIDQ5457927FDOQ5457927

Authors: Afef Sellami 

Publication date: 10 April 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600870289

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• scientific article; zbMATH DE number 777924

zbMATH Keywords

Kalman filterimportance samplingparticle filteringstochastic volatilitynonlinear filterquantization schemesinfinite dimension filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• A survey of convergence results on particle filtering methods for practitioners
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Optimal quantization methods for nonlinear filtering with discrete-time observations
• First-Order Schemes in the Numerical Quantization Method
• A non-linear explicit filter.
• Quantization Based Filtering Method Using First Order Approximation

Cited In (5)

• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
• Optimal Delaunay and Voronoi quantization schemes for pricing American style options
• Comparison of three nonlinear filtering schemes
• On-line quantization in nonlinear filtering
• Rapid detection of the switching point in a financial market structure using the particle filter

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