Multilevel particle filters for Lévy-driven stochastic differential equations

DOI10.1007/s11222-018-9837-zzbMath1430.62209arXiv1804.04444OpenAlexW2796513099MaRDI QIDQ2329798

Kody J. H. Law, Ajay Jasra, Prince Peprah Osei

Publication date: 18 October 2019

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.04444

zbMATH Keywords

Lévy processesparticle filtersbarrier optionsLévy-driven SDEmultilevel particle filters

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

Unbiased parameter inference for a class of partially observed Lévy-process models ⋮ Advanced Multilevel Monte Carlo Methods ⋮ Adaptive importance sampling for multilevel Monte Carlo Euler method ⋮ Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions

Cites Work

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