Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems

DOI10.1214/08-BA322zbMath1330.93230arXiv0705.1598OpenAlexW1837109035MaRDI QIDQ2634532

Simo Särkkä, Tommi Sottinen

Publication date: 16 February 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0705.1598

zbMATH Keywords

Girsanov theoremcontinuous-discrete filteringparticle filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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