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Particle filters with random resampling times
Crisan, D.; Obanubi, O. - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1332-1368
Particle filters are numerical methods for approximating the solution of the filtering problem which use systems of …
Persistent link: https://www.econbiz.de/10010577835
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Generalised particle filters with Gaussian mixtures
Crisan, D.; Li, K. - In: Stochastic Processes and their Applications 125 (2015) 7, pp. 2643-2673
Stochastic filtering is defined as the estimation of a partially observed dynamical system. Approximating the solution … of the filtering problem with Gaussian mixtures has been a very popular method since the 1970s. Despite nearly fifty … the filtering problem. We deduce the L2-convergence rate for the approximating system and show some numerical examples to …
Persistent link: https://www.econbiz.de/10011264610
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BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
KOURITZIN, MICHAEL A.; ZENG, YONG - In: International Journal of Theoretical and Applied … 08 (2005) 01, pp. 97-121
This paper develops the Bayesian model selection based on Bayes factor for a rich class of partially-observed micro-movement models of asset price. We focus on one recursive algorithm to calculate the Bayes factors, first deriving the system of SDEs for them and then applying the Markov chain...
Persistent link: https://www.econbiz.de/10005050499
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Bayesian Inference via Filtering for a Class of Counting Processes: Application to the Micromovement of Asset Price
Zeng, Yong - In: Statistical Inference for Stochastic Processes 8 (2005) 3, pp. 331-354
Persistent link: https://www.econbiz.de/10005184569
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Risk Minimization for a Filtering Micromovement Model of Asset Price
Lee, Kiseop; Zeng, Yong - In: Applied Mathematical Finance 17 (2010) 2, pp. 177-199
this paper, we study optimal hedging strategies for European derivatives based on a filtering micromovement model of asset … hedging strategies under partial information. Furthermore, we develop a related nonlinear filtering technique under the …
Persistent link: https://www.econbiz.de/10008674997
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Expected residual minimization formulation for a class of stochastic linear second-order cone complementarity problems
Wang, Guoxin; Zhang, Jin; Zeng, Bo; Lin, Gui-Hua - In: European journal of operational research : EJOR 265 (2018) 2, pp. 437-447
Persistent link: https://www.econbiz.de/10011811394
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A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs.
Fahim, Arash; Touzi, Nizar; Warin, Xavier - Université Paris-Dauphine - 2011
We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in [12], and show that it can be introduced naturally as a combination of Monte Carlo and finite differences scheme without appealing to the theory of backward stochastic differential equations. Our first main...
Persistent link: https://www.econbiz.de/10009292004
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A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs
Fahim, Arash; Touzi, Nizar; Warin, Xavier - Université Paris-Dauphine (Paris IX) - 2011
We consider the probabilistic numerical scheme for fully nonlinear PDEs suggested in [12], and show that it can be introduced naturally as a combination of Monte Carlo and finite differences scheme without appealing to the theory of backward stochastic differential equations. Our first main...
Persistent link: https://www.econbiz.de/10011166473
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Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia; Minozzo, Marco - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
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An examination of the NASDAQ 100 futures contract using ultra high frequency data
Abid, Fathi; Trabelsi, Lotfi - In: Journal of business and finance 1 (2013) 1, pp. 27-37
Persistent link: https://www.econbiz.de/10010201753