Publication:3331110

zbMath0542.93077MaRDI QIDQ3331110

Denis Talay

Publication date: 1984

zbMATH Keywords

discretization; nonlinear filtering; multidimensional diffusion process; numerical computation of expectations

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

65C05: Monte Carlo methods

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93C10: Nonlinear systems in control theory

65L05: Numerical methods for initial value problems involving ordinary differential equations

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