Quasi-exact Approximation of Hidden Markov Chain Filters
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References listed on IDEAS
- 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.
- Paul Fischer & Eckhard Platen, 1999. "Applications of the Balanced Method to Stochastic Differential Equations in Filtering," Research Paper Series 16, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney.
- Nicola Bruti-Liberati & Eckhard Platen, 2008. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series 222, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Bäuerle Nicole & Gilitschenski Igor & Hanebeck Uwe, 2015. "Exact and approximate hidden Markov chain filters based on discrete observations," Statistics & Risk Modeling, De Gruyter, vol. 32(3-4), pages 159-176, December.
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Keywordsstochastic differential equations; Zakai equation; quasi-exact approximation; hidden Markov chain filtering;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-21 (All new papers)
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