Applications of the Balanced Method to Stochastic Differential Equations in Filtering
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Other versions of this item:
- Fischer Paul & Platen Eckhard, 1999. "Applications of the balanced method to stochastic differential equations in filtering," Monte Carlo Methods and Applications, De Gruyter, vol. 5(1), pages 19-38, December.
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- Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23, June.
- Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 79-105, March.
- Robert Elliott & Eckhard Platen, 1999. "Hidden Markov Chain Filtering for Generalised Bessel Processes," Research Paper Series 23, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen & Renata Rendek, 2009. "Quasi-exact Approximation of Hidden Markov Chain Filters," Research Paper Series 258, Quantitative Finance Research Centre, University of Technology, Sydney.
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Keywordsstochastic differential equations; strong numerical approximations; balanced method; hidden Markov chain filtering;
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