Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Engineering
Link
http://link.springer.com/content/pdf/10.1007/s13160-020-00411-5.pdf
Reference18 articles.
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2. Bain, A., Crisan, D.: Fundamentals of Stochastic Filtering. Springer, Berlin (2009)
3. Billingsley, P.: Convergence of Probability Measures, 2nd edn. Wiley, New York (1999)
4. Clément, D., Kohatsu-Higa, A., Lamberton, D.: A duality approach for the weak approximation of stochastic differential equations. Ann. Appl. Probab. 16, 1124–1154 (2006)
5. Fukasawa, M.: Realized volatility with stochastic sampling. Stoch. Process. Appl. 120, 829–852 (2010)
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