scientific article; zbMATH DE number 4091397

MaRDI QIDQ3818979zbMATH OpenFDO

Authors J. M. C. Clark

Publication date 1989

zbMATH Keywords

discretization schemestochastic differential equationssurvey

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02)

Cited in

(13)

• Continuous versions of Radon-Nikodym derivatives as likelihood ratios
• Discrete time Galerkin approximations to the nonlinear filtering solution
• Approximate nonlinear filtering for piecewise linear systems
• Zakai equation of nonlinear filtering with unbounded coefficients. The case of dependent noises
• White noise theory of robust nonlinear filtering with correlated state and observation noises
• Introduction to the numerical analysis of stochastic delay differential equations
• On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
• scientific article; zbMATH DE number 711262 (Why is no real title available?)
• On the stochastic differential equations of filtering theory
• The optimal discretization of stochastic differential equations
• On the stochastic differential equations of filtering theory
• Nonexistence of finite-dimensional filters for conditional statistics of the cubic sensor problem
• Stochastic regularization of linear equations and the realization of Gaussian fields

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