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A higher order correlation unscented Kalman filter
Sequential Parameter Estimation Nonlinear Systems Unscented Kalman Filter Continuous-discrete State Space Estimation of Uncorrelated States Volatility Estimation
2012/9/14
Many nonlinear extensions of the Kalman filter, e.g., the extended and the unscented Kalman filter, reduce the state densities to Gaussian densities. This approximation gives sufficient results in man...
Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
Optimal solution investment problems via linear parabolic equations generated Kalman filter
2010/12/17
We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the mar...