Quasi-exact Approximation of Hidden Markov Chain Filters
This paper studies the application of exact simulation methods for multi-dimensional multiplicative noise stochastic differential equations to filtering. Stochastic differential equations with multiplicative noise naturally occur as Zakai equation in hidden Markov chain filtering. The paper proposes a quasi-exact approximation method for hidden Markov chain filters, which can be applied when discrete time approximations, such as the Euler scheme, may fail in practice.
|Date of creation:||01 Oct 2009|
|Publication status:||Published as: Platen, E. and Rendek, R., 2010, "Quasi-exact Approximation of Hidden Markov Chain Filters", Communications on Stochastic Analysis, 4(1), 129-142.|
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- 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.
- 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.
- 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.
- 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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