✦ LIBER ✦

Wiener Chaos and Nonlinear Filtering

✍ Scribed by S.V. Lototsky

Publisher: Springer
Year: 2006
Tongue: English
Weight: 313 KB
Volume: 54
Category: Article
ISSN: 0095-4616
DOI: 10.1007/s00245-006-0871-4

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

✍ Istvan Gyongy; Anton Shmatkov 📂 Article 📅 2006 🏛 Springer 🌐 English ⚖ 270 KB

Observability and nonlinear filtering

✍ Ramon van Handel 📂 Article 📅 2008 🏛 Springer 🌐 English ⚖ 420 KB

H∞ nonlinear filtering

✍ N. Berman; U. Shaked 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 804 KB

This paper investigates the problem of H , estimation of nonlinear processes. An estimator, which may be nonlinear, is looked for so that a given bound on the ratio between the energy of the estimation error and the energy of the exogeneous inputs to the estimated process is achieved. Conditions for

Nonlinear dynamics and chaos

✍ Sinisa Pajevic 📂 Article 📅 1995 🏛 Springer 🌐 English ⚖ 75 KB

Martingales, nonlinearity, and chaos

✍ William A. Barnett; Apostolos Serletis 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 163 KB

In this article we provide a review of the literature with respect to the e$cient markets hypothesis and chaos. In doing so, we contrast the martingale behavior of asset prices to nonlinear chaotic dynamics, discuss some recent techniques used in distinguishing between probabilistic and deterministi

Diffusions, their derivatives and expans

Diffusions, their derivatives and expansions in Wiener chaos

✍ Tadeusz Banek 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 276 KB

Using the Isobe-Sato formula we identify derivatives of the random variable c(xT ), where xt is a di usion given by some SDE. It appears that the derivative is propagated by a system of linear ODEs driven by some functionals of the sample x (•) . This leads to a new integral representation of the ke