Dimensional reduction in nonlinear filtering: a homogenization approach

DOI10.1214/12-AAP901zbMath1288.60049arXiv1112.2986MaRDI QIDQ389065

Mohammad Hasan, H. S. Yoon

Publication date: 17 January 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.2986

zbMATH Keywords

homogenizationdimensional reductionnonlinear filteringparticle filteringbackward finite-dimensional stochastic partial differential equationsstochastic partial differential equations (SPDEs)

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27)

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