Robust nonlinear filtering of stochastic volatility in finance

2001 European Control Conference, ECC 2001

Volumn , Issue , 2001, Pages 1501-1506

  Aihara, S I ^a   Bagchi, A ^b  

^a TOKYO UNIVERSITY OF SCIENCE   (Japan)

^b UNIVERSITY OF TWENTE   (Netherlands)

Author keywords

Estimation; Nonlinear filtering; Stochastic volatility; Zakai equation

Indexed keywords

COSTS; DIFFERENTIAL EQUATIONS; ESTIMATION; FINANCIAL MARKETS; NONLINEAR EQUATIONS; NONLINEAR FILTERING;

FILTERING ALGORITHM; FILTERING PROBLEMS; PRICING PROBLEMS; ROBUST NONLINEAR FILTERING; STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC VOLATILITY; STOCK PRICE; ZAKAI EQUATION;

STOCHASTIC SYSTEMS;

EID: 84947461624     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.23919/ecc.2001.7076131     Document Type: Conference Paper

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