Markov chain approximations to filtering equations for reflecting diffusion processes.

DOI10.1016/J.SPA.2003.10.013zbMATH Open1075.60033OpenAlexW2087011720MaRDI QIDQ2574641FDOQ2574641

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

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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)

Cites Work

• Dirichlet forms and symmetric Markov processes
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• High density limit theorems for nonlinear chemical reactions with diffusion
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• Convergence of a Branching Particle Method to the Solution of the Zakai Equation
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• Deterministic limit of the stochastic model of chemical reactions with diffusion
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• Robustness of the nonlinear filter
• Density-dependent limits for a nonlinear reaction-diffusion model
• On a class of discrete generation interacting particle systems
• Convergence of Markov chain approximations to stochastic reaction-diffusion equations
• Limits for parabolic partial differential equations with wide band stochastic coefficients andan application to filtering theory
• Continuous-time approximations for the nonlinear filtering problem
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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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