Essays on nonlinear filtering with applications in finance
In this dissertation, I discuss the nonlinear filtering problem and its applications in finance. In the first chapter, I present a new filtering approach for nonlinear and non- Gaussian state space models. This approach builds on the well-established Kalman filter, featuring a state-dependent least-...
| Main Author: | |
|---|---|
| Other Authors: | |
| Language: | en_US |
| Published: |
2021
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/2144/43309 |