Applying the EKF to stochastic differential equations with level effects
type: Item
instance of: scholarly article
title: Applying the EKF to stochastic differential equations with level effects
zbMATH Open document ID: 0982.93070
DOI: 10.1016/S0005-1098(00)00128-X
author: Jan Nygaard Nielsen
author: Henrik Madsen
published in: Automatica
publication date: 2001-05-01T00:00:00Z
review text: The authors consider a nonlinear filtering problem for a model with multiplicative noise. For a restricted class of systems of stochastic differential equations, they propose a transformation such that the transformed system is a system with additive noise.
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 93C10
Mathematics Subject Classification ID: 93B17
zbMATH DE Number: 1553206
zbMATH Keywords: stochastic modelling
zbMATH Keywords: nonlinear filtering
zbMATH Keywords: multiplicative noise
zbMATH Keywords: transformation
reviewed by: Grigori N. Milstein
MaRDI profile type: Publication
cites work: The pricing of options and corporate liabilities
cites work: Two singular diffusion problems
cites work: Stochastic processes and filtering theory
cites work: Q4714065
cites work: Stochastic models, estimation, and control. Vol. 2,3
cites work: ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
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full work available at URL: s0005-1098(00)00128-x
OpenAlex ID: W2000275211
Wikidata QID: Q126471509
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description: scientific article; zbMATH DE number 1553206