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

DOI10.1080/10629360600870289MaRDI QIDQ5457927zbMATHOpenAlexFDO

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

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)

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Cites work

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

Cited in

(6)

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

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