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]
@article{GoryninDMP17,
title = {Fast Filtering in Switching Approximations of Nonlinear Markov Systems With Applications to Stochastic Volatility},
author = {Ivan Gorynin and Stéphane Derrode and Emmanuel Monfrini and Wojciech Pieczynski},
year = {2017},
doi = {10.1109/TAC.2016.2569417},
url = {http://dx.doi.org/10.1109/TAC.2016.2569417},
researchr = {https://researchr.org/publication/GoryninDMP17},
cites = {0},
citedby = {0},
journal = {IEEE Trans. Automat. Contr.},
volume = {62},
number = {2},
pages = {853-862},
}