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

ShinIchi Aihara; Arunabha Bagchi

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 proceeding › Conference contribution › Academic › peer-review

Original language	English
Title of host publication	32nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications
Place of Publication	Kyoto
Publisher	Institute of Systems, Control and Information Engineers (ISCIE)
Pages	275-280
Number of pages	6
Publication status	Published - 1 Nov 2001
Event	32nd International Symposium on Stochastic Systems Theory and its Applications, SSS 2001 - Hotel Monarque, Tochigi, Japan Duration: 1 Nov 2001 → 2 Nov 2001 Conference number: 32 http://sci-sss.org/

Conference

Conference	32nd International Symposium on Stochastic Systems Theory and its Applications, SSS 2001
Abbreviated title	SSS
Country/Territory	Japan
City	Tochigi
Period	1/11/01 → 2/11/01
Internet address	http://sci-sss.org/

Keywords

METIS-203926

Cite this

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

keywords = "METIS-203926",

author = "ShinIchi Aihara and Arunabha Bagchi",

year = "2001",

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pages = "275--280",

booktitle = "32nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications",

publisher = "Institute of Systems, Control and Information Engineers (ISCIE)",

note = "32nd International Symposium on Stochastic Systems Theory and its Applications, SSS 2001, SSS ; Conference date: 01-11-2001 Through 02-11-2001",

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}

Aihara, S & Bagchi, A 2001, Approximation of the Zakai equation for diffusions with noise correlation and its application to stochastic volatility estimation. in 32nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications. Institute of Systems, Control and Information Engineers (ISCIE), Kyoto, pp. 275-280, 32nd International Symposium on Stochastic Systems Theory and its Applications, SSS 2001, Tochigi, Japan, 1/11/01.

Approximation of the Zakai equation for diffusions with noise correlation and its application to stochastic volatility estimation. / Aihara, ShinIchi; Bagchi, Arunabha.
32nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications. Kyoto: Institute of Systems, Control and Information Engineers (ISCIE), 2001. p. 275-280.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

TY - GEN

T1 - Approximation of the Zakai equation for diffusions with noise correlation and its application to stochastic volatility estimation

AU - Aihara, ShinIchi

AU - Bagchi, Arunabha

N1 - Conference code: 32

PY - 2001/11/1

Y1 - 2001/11/1

KW - METIS-203926

M3 - Conference contribution

SP - 275

EP - 280

BT - 32nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications

PB - Institute of Systems, Control and Information Engineers (ISCIE)

CY - Kyoto

T2 - 32nd International Symposium on Stochastic Systems Theory and its Applications, SSS 2001

Y2 - 1 November 2001 through 2 November 2001

ER -