Linearized filtering of affine processes using stochastic Riccati equations

DOI10.1016/j.spa.2019.03.016zbMath1441.60032arXiv1801.07796OpenAlexW2963173044WikidataQ128155074 ScholiaQ128155074MaRDI QIDQ2289789

Lukas Gonon, Josef Teichmann

Publication date: 24 January 2020

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

Full work available at URL: https://arxiv.org/abs/1801.07796

zbMATH Keywords

filteringRiccati equationZakai equationaffine processconditional law

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Bond pricing formulas for Markov-modulated affine term structure models

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