An Introduction to Stochastic Filtering Theory

Citations

Cited by:

1. Maroulas, Vasileios & Xiong, Jie, 2013. "Large deviations for optimal filtering with fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2340-2352.
2. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," CARF F-Series CARF-F-338, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
3. Huang, Jianhui & Wang, Guangchen & Wu, Zhen, 2010. "Optimal premium policy of an insurance firm: Full and partial information," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 208-215, October.
4. Maroulas, Vasileios & Pan, Xiaoyang & Xiong, Jie, 2020. "Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 203-231.
5. Mei Zhang, 2011. "Central Limit Theorems for a Super-Diffusion over a Stochastic Flow," Journal of Theoretical Probability, Springer, vol. 24(1), pages 294-306, March.
6. Zhiqiang Li & Jie Xiong, 2015. "Stability of the filter with Poisson observations," Statistical Inference for Stochastic Processes, Springer, vol. 18(3), pages 293-313, October.
7. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," CIRJE F-Series CIRJE-F-914, CIRJE, Faculty of Economics, University of Tokyo.
8. Vasileios Maroulas, 2012. "Error analysis of stochastic flight trajectory prediction models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(8), pages 1825-1841, April.
9. Sangahn Kim & Mehmet Turkoz, 2022. "Bayesian sequential update for monitoring and control of high-dimensional processes," Annals of Operations Research, Springer, vol. 317(2), pages 693-715, October.
10. Sun, Chuanfeng & Ji, Shaolin & Kong, Chuiliu, 2022. "The least squares estimator of random variables under convex operators on LF∞(μ) space," Statistics & Probability Letters, Elsevier, vol. 181(C).
11. Marcos Escobar-Anel & Max Speck & Rudi Zagst, 2024. "Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization," Mathematics, MDPI, vol. 12(11), pages 1-27, May.
12. Masaaki Fujii & Akihiko Takahashi, 2015. "Optimal hedging for fund and insurance managers with partially observable investment flows," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 535-551, March.
13. Li, Zenghu & Xiong, Jie & Zhang, Mei, 2010. "Ergodic theory for a superprocess over a stochastic flow," Stochastic Processes and their Applications, Elsevier, vol. 120(8), pages 1563-1588, August.
14. Zuo Quan Xu & Fahuai Yi, 2019. "Optimal redeeming strategy of stock loans under drift uncertainty," Papers 1901.06680, arXiv.org.
15. Haiyang Wang & Zhen Wu, 2014. "Partially Observed Time-Inconsistency Recursive Optimization Problem and Application," Journal of Optimization Theory and Applications, Springer, vol. 161(2), pages 664-687, May.
16. Gerasimos Rigatos, 2016. "A chaotic communication system of improved performance based on the Derivative-free nonlinear Kalman filter," International Journal of Systems Science, Taylor & Francis Journals, vol. 47(9), pages 2152-2168, July.
17. Martini, Mattia, 2023. "Kolmogorov equations on spaces of measures associated to nonlinear filtering processes," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 385-423.
18. Zhang, Shuaiqi & Xiong, Jie, 2019. "A numerical method for forward–backward stochastic equations with delay and anticipated term," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 107-115.
19. Calvia, Alessandro & Ferrari, Giorgio, 2021. "Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control," Center for Mathematical Economics Working Papers 651, Center for Mathematical Economics, Bielefeld University.
20. Guangchen Wang & Hua Xiao, 2015. "Arrow Sufficient Conditions for Optimality of Fully Coupled Forward–Backward Stochastic Differential Equations with Applications to Finance," Journal of Optimization Theory and Applications, Springer, vol. 165(2), pages 639-656, May.
21. Tianyang Nie & Falei Wang & Zhiyong Yu, 2022. "Maximum Principle for General Partial Information Nonzero Sum Stochastic Differential Games and Applications," Dynamic Games and Applications, Springer, vol. 12(2), pages 608-631, June.
22. Zuo Quan Xu & Fahuai Yi, 2020. "Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty," Mathematics of Operations Research, INFORMS, vol. 45(1), pages 384-401, February.
23. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," CARF F-Series CARF-F-348, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
24. Zheng, Yueyang & Shi, Jingtao, 2022. "A linear-quadratic partially observed Stackelberg stochastic differential game with application," Applied Mathematics and Computation, Elsevier, vol. 420(C).
25. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," Papers 1401.2314, arXiv.org, revised Jul 2014.
26. Wang, Guangchen & Wang, Wencan & Yan, Zhiguo, 2021. "Linear quadratic control of backward stochastic differential equation with partial information," Applied Mathematics and Computation, Elsevier, vol. 403(C).
27. Benth, Fred Espen & Rüdiger, Barbara & Süss, Andre, 2018. "Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility," Stochastic Processes and their Applications, Elsevier, vol. 128(2), pages 461-486.