Stability of the filter with Poisson observations

Zhiqiang Li and Jie Xiong ()

Statistical Inference for Stochastic Processes, 2015, vol. 18, issue 3, 293-313

Abstract: The short interest rate process is modeled by a diffusion process $$X(t)$$ X ( t ) . With the counting process observations, a filtering problem is formulated and its exponential stability is derived when the process $$X(t)$$ X ( t ) is asymptotically stationary. Copyright Springer Science+Business Media Dordrecht 2015

Keywords: Diffusion process; Truncated filter; Stability; Primary 93E11; Secondary: 60J25; 62M20 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11203-014-9114-5

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