Filtering and Parameter Estimation of Partially Observed Diffusion Processes Using Gaussian RBFs
Höök, Josef; Larsson, Elisabeth; Lindström, Erik; von Sydow, Lina (2014). Filtering and Parameter Estimation of Partially Observed Diffusion Processes Using Gaussian RBFs [Publication information missing]. 2014 SIAM Conference on Financial Mathematics and Engineering. Chicago, Illinois, United States
Conference Abstract
|
Published
|
English
Authors:
Höök, Josef
;
Larsson, Elisabeth
;
Lindström, Erik
;
von Sydow, Lina
Department:
Mathematical Statistics
Mathematical Finance-lup-obsolete
Financial Mathematics Group
Research Group:
Mathematical Finance-lup-obsolete
Financial Mathematics Group
Keywords:
RBF ;
Filtering ;
Fokker-Planck equation
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