Quasi-exact Approximation of Hidden Markov Chain Filters

Eckhard Platen () and Renata Rendek

No 258, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

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.

Keywords: stochastic differential equations; Zakai equation; quasi-exact approximation; hidden Markov chain filtering (search for similar items in EconPapers)
Pages: 17 pages
Date: 2009-10-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published as: Platen, E. and Rendek, R., 2010, "Quasi-exact Approximation of Hidden Markov Chain Filters", Communications on Stochastic Analysis, 4(1), 129-142.

Downloads: (external link)
https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp258.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:258

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().