Quantization Based Filtering Method Using First Order Approximation

DOI10.1137/060652580zbMATH Open1230.60043OpenAlexW2012595274MaRDI QIDQ3069093FDOQ3069093

Authors: Afef Sellami 

Publication date: 24 January 2011

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/060652580

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• scientific article; zbMATH DE number 3878814

zbMATH Keywords

Monte Carlonumerical integrationfilteringquantizationfirst order scheme

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited In (9)

• Approximations for nonlinear filters based on quantisation
• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
• Approximation of optimal filter for Ornstein-Uhlenbeck process with quantised discrete-time observation
• Optimal Delaunay and Voronoi quantization schemes for pricing American style options
• Optimal quantization methods for nonlinear filtering with discrete-time observations
• Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation
• First-Order Schemes in the Numerical Quantization Method
• On-line quantization in nonlinear filtering
• Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches

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