Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
Author:
Publisher
Informa UK Limited
Subject
Computer Science Applications,Control and Systems Engineering
Link
http://www.tandfonline.com/doi/pdf/10.1080/0020717031000138214
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1. Martingale Estimation Functions for Discretely Observed Diffusion Processes
2. Approximate Nonlinear Filtering by Projection on Exponential Manifolds of Densities
3. Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance Model
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