Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise

DOI10.1080/0020717031000138214zbMath1048.93090OpenAlexW2161337392MaRDI QIDQ4810933

Tohru Ozaki, J. C. Jimenez

Publication date: 17 August 2004

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0020717031000138214

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linearizations (93B18)

Related Items (13)

Linear estimation of continuous-discrete linear state space models with multiplicative noise ⋮ Parameter estimation for a type of nonlinear stochastic models observed with error ⋮ Simplified formulas for the mean and variance of linear stochastic differential equations ⋮ A partially linearized sigma point filter for latent state estimation in nonlinear time series models ⋮ A weak local linearization scheme for stochastic differential equations with multiplicative noise ⋮ Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview ⋮ Estimation of distribution algorithms for the computation of innovation estimators of diffusion processes ⋮ High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise ⋮ Computing multiple integrals involving matrix exponentials ⋮ The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach ⋮ Rate of convergence of local linearization schemes for initial-value problems ⋮ Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps ⋮ An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data

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