Markov chain approximations to filtering equations for reflecting diffusion processes.

DOI10.1016/J.SPA.2003.10.013MaRDI QIDQ2574641zbMATH OpenOpenAlexFDO

Authors Michael A. Kouritzin, Hongwei Long, Wei Sun

Publication date 29 November 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2003.10.013

zbMATH Keywords

nonlinear filtering

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35)

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• scientific article; zbMATH DE number 1358322 (Why is no real title available?)
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• On a class of discrete generation interacting particle systems
• On the optimal filtering of diffusion processes
• Probability methods for approximations in stochastic control and for elliptic equations
• Robustness of the nonlinear filter
• Équations du filtrage non linéaire de la prédiction et du lissage

Cited in

(2)

• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection
• Numerical solutions for a class of SPDEs over bounded domains

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