Quantization Based Filtering Method Using First Order Approximation

DOI10.1137/060652580MaRDI QIDQ3069093zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(9)

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

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