Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance

Miguel Martinez 1 Sylvain Rubenthaler 2 Etienne Tanré 3
3 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : In this article, we study a continuous time optimal filter and its various numerical approximations. This filter arises in an optimal allocation problem in the particular context of a non-stationary economy. We analyse the rates of convergence of the approximations of the filter when the model is misspecified and when the observations can only be made at discrete times. We give bounds that are uniform in time. Numerical results are presented.
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https://hal.archives-ouvertes.fr/hal-00601938
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Submitted on : Tuesday, June 21, 2011 - 9:41:23 AM
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Miguel Martinez, Sylvain Rubenthaler, Etienne Tanré. Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance. Stochastic Analysis and Applications, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2009, 27 (2), pp.270-296. ⟨10.1080/07362990802678846⟩. ⟨hal-00601938⟩

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