Fundamentals of stochastic filtering
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Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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(only showing first 100 items - show all)- Data assimilation for a multiscale stochastic dynamical system with Gaussian noise
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- Bayesian sequential testing of the drift of a Brownian motion
- scientific article; zbMATH DE number 4058542 (Why is no real title available?)
- Perturbation analysis for investment portfolios under partial information with expert opinions
- Particle filters with nudging in multiscale chaotic systems: with application to the Lorenz '96 atmospheric model
- Strong consistency of the Bayesian estimator for the Ornstein-Uhlenbeck process
- Multilevel ensemble Kalman-Bucy filters
- On the performance of particle filters with adaptive number of particles
- A Brownian optimal switching problem under incomplete information
- Monotonicity and robustness in Wiener disorder detection
- An optimal recurrent logical-dynamical filter of a high order and its covariance approximations
- Kernel-based collocation methods for Zakai equations
- How to avoid the curse of dimensionality: scalability of particle filters with and without importance weights
- Limit theorems for cloning algorithms
- Non-linear filtering and optimal investment under partial information for stochastic volatility models
- Dimension reduction in statistical estimation of partially observed multiscale processes
- Maximum cross section method in the filtering problem for continuous systems with Markovian switching
- Portfolio optimization for a large investor controlling market sentiment under partial information
- The stochastic filtering problem: a brief historical account
- Generalised particle filters with Gaussian mixtures
- Effective filtering analysis for non-Gaussian dynamic systems
- Mean square integral inequalities for generalized convex stochastic processes via beta function
- Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise
- Reinforcement learning, sequential Monte Carlo and the EM algorithm
- Approximation for portfolio optimization in a financial market with shot-noise jumps
- Directed chain stochastic differential equations
- Diffusion map-based algorithm for gain function approximation in the feedback particle filter
- Finite-dimensional recurrent algorithms for optimal nonlinear logical-dynamical filtering
- Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem
- Switching cost models as hypothesis tests
- Effective filtering on a random slow manifold
- Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models
- Adaptive Tikhonov strategies for stochastic ensemble Kalman inversion
- Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
- Feedback particle filter for collective inference
- Stability of non-linear filter for deterministic dynamics
- Second Order Minimum Energy Filtering on $${\text {SE}}_{3}$$ with Nonlinear Measurement Equations
- Bayesian sequential least-squares estimation for the drift of a Wiener process
- Statistical filtering algorithms for systems withrandom structure
- Optimal recurrent logical-dynamical finite memory filter
- Bayesian learning for the Markowitz portfolio selection problem
- Joint online parameter estimation and optimal sensor placement for the partially observed stochastic advection-diffusion equation
- Blended particle methods with adaptive subspaces for filtering turbulent dynamical systems
- EM algorithm for stochastic hybrid systems
- Stochastic filtering and optimal control of pure jump Markov processes with noise-free partial observation
- A particle filter for stochastic advection by Lie transport: a case study for the damped and forced incompressible two-dimensional Euler equation
- A geometric framework for stochastic shape analysis
- Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
- Central limit theorems for coupled particle filters
- Rough semimartingales and \(p\)-variation estimates for martingale transforms
- Deterministic mean-field ensemble Kalman filtering
- Weak symmetries of stochastic differential equations driven by semimartingales with jumps
- Symplectic Runge-Kutta discretization of a regularized forward-backward sweep iteration for optimal control problems
- Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
- McKean--Vlasov SDEs in Nonlinear Filtering
- A guided sequential Monte Carlo method for the assimilation of data into stochastic dynamical systems
- Pathwise stochastic control with applications to robust filtering
- A population Monte Carlo scheme with transformed weights and its application to stochastic kinetic models
- Data assimilation and parameter estimation for a multiscale stochastic system with \(\alpha \)-stable Lévy noise
- Ergodic control of diffusions with random intervention times
- On the convergence of two sequential Monte Carlo methods for maximum a posteriori sequence estimation and stochastic global optimization
- Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac
- A Rao-blackwellized particle filter for joint parameter estimation and biomass tracking in a stochastic predator-prey system
- Filtering skill for turbulent signals for a suite of nonlinear and linear extended Kalman filters
- Stable approximation schemes for optimal filters
- Optimal nonlinear recurrent finite memory filter
- Continuous equilibrium in affine and information-based capital asset pricing models
- Mathematics of Kalman-Bucy filtering
- Particle-kernel estimation of the filter density in state-space models
- Brownian bridge with random length and pinning point for modelling of financial information
- Nonparametric uncertainty quantification for stochastic gradient flows
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
- The Kalman-Bucy filter for integrable Lévy processes with infinite second moment
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric
- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
- Optimal liquidation under partial information with price impact
- Second-order recursive filtering on the rigid-motion Lie group \(\mathrm{SE}_3\) based on nonlinear observations
- Mathematics of Kalman-Bucy filtering.
- Bayesian filtering and smoothing
- scientific article; zbMATH DE number 1971697 (Why is no real title available?)
- Multiscale methods for data assimilation in turbulent systems
- Nonparametric particle filtering approaches for identification and inference in nonlinear state-space dynamic systems
- Unbiased estimation of the solution to Zakai's equation
- Multilevel particle filters for the non-linear filtering problem in continuous time
- Analysis of a sequential Monte Carlo method for optimization in dynamical systems
- Random dynamical systems: addressing uncertainty, nonlinearity and predictability
- Stochastic filters and generation of stochastic processes
- Nonlinear filtering of partially observed systems arising in singular stochastic optimal control
- Pathwise approximations for the solution of the non-linear filtering problem
- Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
- Szegő's theorem and its probabilistic descendants
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Mean field game theory with a partially observed major agent
- Optimal recurrent nonlinear filter of a large order for jump diffusion Markov signals
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