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

homogenization; dimensional reduction; nonlinear filtering; particle filtering; backward finite-dimensional stochastic partial differential equations; stochastic partial differential equations (SPDEs)

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

35B27: Homogenization in context of PDEs; PDEs in media with periodic structure

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