The adaptive patched cubature filter and its implementation

DOI10.4310/CMS.2016.v14.n3.a9zbMath1343.60042arXiv1509.04239MaRDI QIDQ275115

F. Blanchet-Sadri, M. Dambrine

Publication date: 25 April 2016

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.04239

zbMATH Keywords

cubaturestochastic differential equationsBayesian statisticsrecombinationparticle filterWiener spaceadaptive patched cubature filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Sample path properties (60G17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Sampling theory in information and communication theory (94A20) Stochastic particle methods (65C35)

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