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University of Tennessee – Knoxville

1. Li, Zhiqiang. Stability of Nonlinear Filters and Branching Particle Approximations to The Filtering Problems.

Degree: 2012, University of Tennessee – Knoxville

Various particle filters have been proposed and their convergence to the optimal filter are obtained for finite time intervals. However, uniform convergence results have been established only for discrete time filters. We prove the uniform convergence of a branching particle filter for continuous time setup when the optimal filter itself is exponentially stable. The short interest rate process is modeled by an asymptotically stationary diffusion process. With the counting process observations, a filtering problem is formulated and its exponential stability is derived. Base on the stability result, the uniform convergence of a branching particle filter is proved.

Subjects/Keywords: nonlinear filtering; branching particle aproximation; Probability

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Li, Z. (2012). Stability of Nonlinear Filters and Branching Particle Approximations to The Filtering Problems. (Doctoral Dissertation). University of Tennessee – Knoxville. Retrieved from https://trace.tennessee.edu/utk_graddiss/1322

Chicago Manual of Style (16th Edition):

Li, Zhiqiang. “Stability of Nonlinear Filters and Branching Particle Approximations to The Filtering Problems.” 2012. Doctoral Dissertation, University of Tennessee – Knoxville. Accessed December 13, 2019. https://trace.tennessee.edu/utk_graddiss/1322.

MLA Handbook (7th Edition):

Li, Zhiqiang. “Stability of Nonlinear Filters and Branching Particle Approximations to The Filtering Problems.” 2012. Web. 13 Dec 2019.

Vancouver:

Li Z. Stability of Nonlinear Filters and Branching Particle Approximations to The Filtering Problems. [Internet] [Doctoral dissertation]. University of Tennessee – Knoxville; 2012. [cited 2019 Dec 13]. Available from: https://trace.tennessee.edu/utk_graddiss/1322.

Council of Science Editors:

Li Z. Stability of Nonlinear Filters and Branching Particle Approximations to The Filtering Problems. [Doctoral Dissertation]. University of Tennessee – Knoxville; 2012. Available from: https://trace.tennessee.edu/utk_graddiss/1322

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