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内部出版物
SpringerLink电子期刊(42)
Elsevier电子期刊(602)
ACS电子期刊(1)
在“
SpringerLink电子期刊
”中,
命中:
42
条,耗时:小于0.01 秒
在所有数据库中总计命中:
645
条
1.
Nonlinear Kalman filtering via ultradiscretization procedure
作者:
Junkichi Satsuma
;
Shin Isojima
关键词:
Nonlinear Filtering Theory
;
Kalman filter
;
Ultradiscretization
;
Piecewise linear equation
;
93E11
;
65Q05
刊名:Japan Journal of Industrial and Applied Mathematics
出版年:2016
2.
On European option pricing under partial information
作者:
Meng Wu
;
Jue Lu
;
Nan-jing Huang
关键词:
option pricing
;
European option
;
partial information
;
backward stochastic differential equation
;
93E11
;
60H10
;
91B24
刊名:Applications of Mathematics
出版年:2016
3.
Dynamic credit investment in partially observed markets
作者:
Agostino Capponi
;
José E. Figueroa-López
;
Andrea Pascucci
关键词:
Partial information
;
Filtering
;
Risk
;
sensitive control
;
Default risk
;
Hidden Markov chain
;
93E
20
;
91G10
;
49L20
;
93E11
;
G11
;
C61
;
C11
刊名:Finance and Stochastics
出版年:2015
4.
Study of a degenerate elliptic equation in an optimal consumption problem under partial information
作者:
Y?suke Watanabe
关键词:
Optimal consumption problem
;
Stochastic control
;
Hidden Markov models
;
Filtering equation
;
HJB equation
;
Degenerate elliptic equation
;
35J70
;
93E11
;
93E
20
;
91G80
刊名:Japan Journal of Industrial and Applied Mathematics
出版年:2015
5.
Arrow Sufficient Conditions for Optimality of Fully Coupled Forward–Backward Stochastic Differential Equations with Applications to Finance
作者:
Guangchen Wang
;
Hua Xiao
关键词:
Forward–backward stochastic differential equation
;
Arrow sufficient condition
;
Recursive utility
;
Risk measure
;
Filtering
;
93E11
;
93E
20
;
60H10
刊名:Journal of Optimization Theory and Applications
出版年:2015
6.
Estimation Problems for Periodically Correlated Isotropic Random Fields
作者:
Iryna Dubovetska (1)
Oleksandr Masyutka (2)
Mikhail Moklyachuk (1)
1. Department of Probability Theory
;
Statistics and Actuarial Mathematics
;
Kyiv National Taras Shevchenko University
;
Kyiv
;
01601
;
Ukraine
2. Department of Mathematics and Theoretical Radiophysics
;
Kyiv National Taras Shevchenko University
;
Kyiv
;
01601
;
Ukraine
关键词:
Random field
;
Prediction
;
Filtering
;
Robust estimate
;
Mean square error
;
Least favourable spectral densities
;
Minimax spectral characteristic
;
60G60
;
62M40
;
62M20
;
93E
10
;
93E11
刊名:Methodology and Computing in Applied Probability
出版年:2015
7.
Observation thinning in data assimilation computations
作者:
Serge Gratton (1) (2)
Monserrat Rincon-Camacho (2)
Ehouarn Simon (1)
Philippe L. Toint (3)
1. Universit茅 de Toulouse
;
INP
;
IRIT
;
2
;
rue Camichel
;
31000聽
;
Toulouse
;
France
2. CERFACS
;
42
;
Avenue Gaspard Coriolis
;
31057聽
;
Toulouse
;
France
3. Namur Center for Complex Systems
;
University of Namur
;
61
;
rue de Bruxelles
;
5000聽
;
Namur
;
Belgium
关键词:
Data assimilation
;
Numerical algorithms
;
Multilevel optimization
;
A posteriori errors
;
90C06
;
90C90
;
65F08
;
93E
24
;
93E11
刊名:EURO Journal on Computational Optimization
出版年:2015
8.
Stability of the filter with Poisson observations
作者:
Zhiqiang Li
;
Jie Xiong
关键词:
Diffusion process
;
Truncated filter
;
Stability
;
Primary
93E11
;
Secondary
;
60J25
;
62M20
刊名:Statistical Inference for Stochastic Processes
出版年:2015
9.
Robust Kalman tracking and smoothing with propagating and non-propagating outliers
作者:
Peter Ruckdeschel (1) (4)
Bernhard Spangl (2)
Daria Pupashenko (3) (4)
关键词:
Kalman filtering
;
Propagating outliers
;
Robustness
;
Extended Kalman filter
;
Kalman smoother
;
93E11
;
62F35
刊名:Statistical Papers
出版年:2014
10.
A recursive linear MMSE filter for dynamic systems with unknown state vector means
作者:
Amir Khodabandeh (1)
Peter J. G. Teunissen (1) (2)
关键词:
Minimum mean squared error (MMSE)
;
Best linear unbiased estimation (BLUE)
;
Best linear unbiased prediction (BLUP)
;
Kalman filter
;
BLUE
;
BLUP recursion
;
60G25
;
60G35
;
93E11
刊名:GEM - International Journal on Geomathematics
出版年:2014
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