Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches

DOI10.1080/10629360600870289zbMath1136.62373OpenAlexW2093125922MaRDI QIDQ5457927

Afef Sellami

Publication date: 10 April 2008

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600870289

zbMATH Keywords

importance samplingstochastic volatilityKalman filterquantization schemesparticle filteringnonlinear filterinfinite dimension filter

Mathematics Subject Classification ID

Related Items (4)

Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options ⋮ Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering ⋮ On-line quantization in nonlinear filtering ⋮ Rapid detection of the switching point in a financial market structure using the particle filter

Cites Work

• Optimal quantization methods for nonlinear filtering with discrete-time observations
• A non-linear explicit filter.
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Quantization Based Filtering Method Using First Order Approximation
• First-Order Schemes in the Numerical Quantization Method
• A survey of convergence results on particle filtering methods for practitioners
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

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