Fast Filtering in Switching Approximations of Nonlinear Markov Systems With Applications to Stochastic Volatility

DOI10.1109/TAC.2016.2569417zbMath1364.93802MaRDI QIDQ2989590

Emmanuel Monfrini, Stéphane Derrode, Wojciech Pieczynski, Ivan Gorynin

Publication date: 8 June 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Markov processes: estimation; hidden Markov models (62M05) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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