Publication:3331110
From MaRDI portal
zbMath0542.93077MaRDI QIDQ3331110
Publication date: 1984
discretization; nonlinear filtering; multidimensional diffusion process; numerical computation of expectations
93E11: Filtering in stochastic control theory
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93C10: Nonlinear systems in control theory
65L05: Numerical methods for initial value problems involving ordinary differential equations
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