Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method

Abass Sagna (1) , Christophe Profeta (1)

1 LaMME - Laboratoire de Mathématiques et Modélisation d'Evry

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.

Mots clés: Nonlinear filtering; conditional hitting time; Brownian Bridge method

Domaines: Probabilités [math.PR]

Abass Sagna, Christophe Profeta. Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method. Stochastics: An International Journal of Probability and Stochastic Processes, 2015, 87 (1), pp.112-141. ⟨hal-00753887⟩