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- W2949337941 abstract "The model consists of a signal process $X$ which is a general Brownian diffusion process and an observation process $Y$, also a diffusion process, which is supposed to be correlated to the signal process. We suppose that the process $Y$ is observed from time 0 to $s>0$ at discrete times and aim to estimate, conditionally on these observations, the probability that the non-observed process $X$ crosses a fixed barrier after a given time $t>s$. We formulate this problem as a usual nonlinear filtering problem and use optimal quantization and Monte Carlo simulations techniques to estimate the involved quantities." @default.
- W2949337941 created "2019-06-27" @default.
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- W2949337941 date "2012-11-19" @default.
- W2949337941 modified "2023-09-27" @default.
- W2949337941 title "Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method" @default.
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