Sequential Monte Carlo methods for filtering of unobservable components of multidimensional diffusion Markov processes

DOI10.1080/23311835.2015.1134031zbMath1426.60045OpenAlexW340672618MaRDI QIDQ4966726

Eh. M. Khazen

Publication date: 27 June 2019

Published in: Cogent Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/23311835.2015.1134031

zbMATH Keywords

simulationnonlinear filteringparticle filtersvolatilityquadratic variationsequential Monte Carlo methodsmultidimensional diffusion Markov process

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60)

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