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Nonlinear filters for hidden Markov models of regime change with fast mean-reverting states
Andrew Papanicolaou
Finance and Risk Engineering
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Dive into the research topics of 'Nonlinear filters for hidden Markov models of regime change with fast mean-reverting states'. Together they form a unique fingerprint.
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Mathematics
Asymptotic Convergence
37%
Continuous-time Markov Chain
38%
Filter
28%
Filtering
32%
Infinity
21%
Invariant Distribution
39%
Markov chain
26%
Markov Model
69%
Mean Reversion
50%
Modeling
20%
Multiple Time Scales
44%
Nonlinear Filters
87%
Ornstein-Uhlenbeck Process
37%
Strong Convergence
29%
Weak Convergence
30%
Physics & Astronomy
filters
22%
infinity
32%
Markov chains
78%
nonlinear filters
100%
Ornstein-Uhlenbeck process
49%
Earth & Environmental Sciences
distribution
7%
filter
43%
Markov chain
46%
modeling
8%
rate
7%
timescale
15%
Engineering & Materials Science
Hidden Markov models
65%
Markov chains
62%