Fast Filtering in Switching Approximations of Nonlinear Markov Systems With Applications to Stochastic Volatility - researchr publication

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Ivan Gorynin, Stéphane Derrode, Emmanuel Monfrini, Wojciech Pieczynski. Fast Filtering in Switching Approximations of Nonlinear Markov Systems With Applications to Stochastic Volatility. IEEE Trans. Automat. Contr., 62(2):853-862, 2017. [doi]

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