{"created":"2021-03-01T07:02:05.298812+00:00","id":42228,"links":{},"metadata":{"_buckets":{"deposit":"a5e9519c-d788-4ffb-9c95-784946bff7b7"},"_deposit":{"id":"42228","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42228"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042228","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-03","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-883","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This paper develops an asymptotic expansion technique in momentum space for stochastic filtering. It is shown that Fourier transformation combined with a polynomial-function approximation of the nonlinear terms gives a closed recursive system of ordinary differential equations (ODEs) for the relevant conditional distribution. Thanks to the simplicity of the ODE system, higher order calculation can be performed easily. Furthermore, solving ODEs sequentially with small sub-periods with updated initial conditions makes it possible to implement a substepping method for asymptotic expansion in a numerically efficient way. This is found to improve the performance significantly where otherwise the approximation fails badly. The method is expected to provide a useful tool for more realistic financial modeling with unobserved parameters, and also for problems involving nonlinear measure-valued processes.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf883ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Faculty of Ecnomics, University of Tokyo"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Fujii, Masaaki"}],"nameIdentifiers":[{"nameIdentifier":"97183","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Zakai equation","subitem_subject_scheme":"Other"},{"subitem_subject":"polynomial-function approximation","subitem_subject_scheme":"Other"},{"subitem_subject":"measure-valued process","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-31"},"publish_date":"2013-05-31","publish_status":"0","recid":"42228","relation_version_is_last":true,"title":["Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:25.725525+00:00"}