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Stability of the filter with Poisson observations

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  • Zhiqiang Li
  • Jie Xiong

Abstract

The short interest rate process is modeled by a diffusion process $$X(t)$$ X ( t ) . With the counting process observations, a filtering problem is formulated and its exponential stability is derived when the process $$X(t)$$ X ( t ) is asymptotically stationary. Copyright Springer Science+Business Media Dordrecht 2015

Suggested Citation

  • 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.
    • Handle: RePEc:spr:sistpr:v:18:y:2015:i:3:p:293-313
    DOI: 10.1007/s11203-014-9114-5
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    References listed on IDEAS

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