Nonlinear filtering for reflecting diffusions in random environments via nonparametric estimation

DOI10.1214/EJP.V9-214MaRDI QIDQ1767545zbMATH OpenOpenAlexFDO

Authors Michael A. Kouritzin, Wei Sun, Jie Xiong

Publication date 8 March 2005

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/124798, http://www.emis.de/journals/EJP-ECP/_ejpecp/EjpVol9/paper18.abs.html

zbMATH Keywords

simulationsnonparametric functional estimationparticle filter algorithm

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Brownian motion (60J65) Processes in random environments (60K37)

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Cited in

(2)

• Nonlinear filtering for diffusions in random environments
• Nonlinear filtering of reflecting diffusion processes

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