Linearized filtering of affine processes using stochastic Riccati equations

Author:

Gonon Lukas,Teichmann Josef

Funder

ETH Foundation

SNF

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference44 articles.

1. Ordinary Differential Equations: An Introduction to Nonlinear Analysis, vol. 13;Amann,1990

2. Nonlinear filtering via stochastic PDE projection on mixture manifolds in l2 direct metric;Armstrong;Math. Control Signals Systems,2016

3. Fundamentals of Stochastic Filtering;Bain,2009

4. Maximum likelihood estimation of latent affine processes;Bates;Rev. Financ. Stud.,2006

5. On some filtering problems arising in mathematical finance;Brigo;Insurance Math. Econom.,1998

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1. Deep Kalman Filters Can Filter;SSRN Electronic Journal;2023

2. Bond pricing formulas for Markov-modulated affine term structure models;Journal of Industrial & Management Optimization;2021

3. The entropic measure transform;Canadian Journal of Statistics;2020-02-11

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