A deterministic discretisation-step upper bound for state estimation via Clark transformations
DOI10.1155/S1048953304311032zbMath1071.65007MaRDI QIDQ1773289
Publication date: 26 April 2005
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/51656
stabilization; state estimation; Brownian motion; stochastic differential equations; Poisson process; discretizations; Clark transformations; continuous-time filtering; positivity-preserving numerical schemes
93E11: Filtering in stochastic control theory
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G35: Signal detection and filtering (aspects of stochastic processes)
60H30: Applications of stochastic analysis (to PDEs, etc.)
34F05: Ordinary differential equations and systems with randomness
37H10: Generation, random and stochastic difference and differential equations
65C30: Numerical solutions to stochastic differential and integral equations
