Imperial College London

ProfessorDamianoBrigo

Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@inproceedings{Armstrong,
author = {Armstrong, J and Brigo, D},
publisher = {Springer},
title = {Extrinsic projection of Ito SDEs on submanifolds with applications to nonlinear ltering},
}

RIS format (EndNote, RefMan)

TY  - CPAPER
AB - We define the notion of the extrinsic Itˆo projection of astochastic differential equation (SDE) on a submanifold. This allows oneto systematically develop low dimensional approximations to high dimensionalSDEs in a differential geometric setting. We consider the exampleof approximating the non-linear filtering problem with a Gaussian distributionand show how the Itˆo projection leads to improved approximationsin the Gaussian family. We briefly discuss the approximations formore general families of distribution. We perform a numerical comparisonof our projection filters with the classical Extended Kalman Filterto demonstrate the efficacy of the approach.
AU - Armstrong,J
AU - Brigo,D
PB - Springer
SN - 1860-4862
TI - Extrinsic projection of Ito SDEs on submanifolds with applications to nonlinear ltering
ER -