Applications of the Balanced Method to Stochastic Differential Equations in Filtering

Paul Fischer and Eckhard Platen ()

No 16, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: The paper studies the application of the balanced method in hidden Markov chain filtering, an important practical area that requires the strong numerical solution of stochstic differential equations with multiplicative noise. Numerical experiments are conducted to enable comparisons between the balanced method and standard alternative methods in the context of filtering. Both the mean global error and the sample path properties of the approximate solutions are compared in a numerical study.

Keywords: stochastic differential equations; strong numerical approximations; balanced method; hidden Markov chain filtering (search for similar items in EconPapers)
Date: 1999-08-01
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Citations: View citations in EconPapers (5)

Published as: Fischer, P. and Platen, E., 1999, "Applications of the Balanced Method to Stochastic Differential Equations in Filtering", Monte Carlo Methods and Applications, 5(1), 19-38.

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Journal Article: Applications of the balanced method to stochastic differential equations in filtering (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:16

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