Fast Filtering in Switching Approximations of Non-linear Markov Systems with Applications to Stochastic Volatility
Gorynin, Ivan, Derrode, Stephane, Monfrini, Emmanuel, Pieczynski, WojciechYear:
2016
Language:
english
Journal:
IEEE Transactions on Automatic Control
DOI:
10.1109/TAC.2016.2569417
File:
PDF, 1.12 MB
english, 2016