2 papers
math.ST2026
Parameter Estimation for Partially Observed Affine and Polynomial Processes
Jan Kallsen, Ivo Richert
This paper is devoted to parameter estimation for partially observed polynomial state space models. This class includes discretely observed affine or more generally polynomial Mark…
math.PR2026
Optimal linear filtering of partially observed polynomial processes in discrete and continuous time
Jan Kallsen, Ivo Richert
This paper is devoted to filtering, smoothing, and prediction of polynomial processes that are partially observed. These problems are known to allow for an explicit solution in the…