Unbiased estimation of the solution to Zakai's equation

DOI10.1515/MCMA-2020-2061OpenAlexW3005339827MaRDI QIDQ777905

Hamza M. Ruzayqat, Ajay Jasra

Publication date: 8 July 2020

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.01270

zbMATH Keywords

unbiased estimationparticle filtersmultilevel Monte Carlonon-linear filtering

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (3)

Unbiased parameter inference for a class of partially observed Lévy-process models ⋮ Splitting-up spectral method for nonlinear filtering problems with correlation noises ⋮ Unbiased Estimation Using Underdamped Langevin Dynamics

Cites Work

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