Quasi-exact approximation of hidden Markov chain filters

Platen, E; Rendek, RJ

Quasi-exact approximation of hidden Markov chain filters

Platen, E

Rendek, RJ

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Publisher:: Serial Publications
Publication Type:: Journal Article
Citation:: Communications on Stochastic Analysis, 2010, 4 (1), pp. 129 - 142
Issue Date:: 2010-01

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Field	Value	Language
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.contributor.author	Rendek, RJ	en_US
dc.date.issued	2010-01	en_US
dc.identifier.citation	Communications on Stochastic Analysis, 2010, 4 (1), pp. 129 - 142	en_US
dc.identifier.issn	0973-9599	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14003
dc.description.abstract	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.	en_US
dc.publisher	Serial Publications	en_US
dc.relation.ispartof	Communications on Stochastic Analysis	en_US
dc.title	Quasi-exact approximation of hidden Markov chain filters	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	4	en_US
utslib.for	140302 Econometric and Statistical Methods	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	150201 Finance	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.issue	1	en_US
pubs.volume	4	en_US

Abstract:

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.

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http://hdl.handle.net/10453/14003