Approximation of the Zakai equation for diffusions with noise correlation and its application to stochastic volatility estimation

ShinIchi Aihara, Arunabha Bagchi

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

    Original languageEnglish
    Title of host publication32nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications
    Place of PublicationKyoto
    PublisherInstitute of Systems, Control and Information Engineers (ISCIE)
    Pages275-280
    Number of pages6
    Publication statusPublished - 1 Nov 2001
    Event32nd International Symposium on Stochastic Systems Theory and its Applications, SSS 2001 - Hotel Monarque, Tochigi, Japan
    Duration: 1 Nov 20012 Nov 2001
    Conference number: 32
    http://sci-sss.org/

    Conference

    Conference32nd International Symposium on Stochastic Systems Theory and its Applications, SSS 2001
    Abbreviated titleSSS
    CountryJapan
    CityTochigi
    Period1/11/012/11/01
    Internet address

    Keywords

    • METIS-203926

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