Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering

DOI10.1137/0141043zbMath0476.60053OpenAlexW1991064253MaRDI QIDQ3933729

John S. Baras, Gilmer L. Blankenship

Publication date: 1981

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0141043

zbMATH Keywords

nonlinear filteringapproximation formulas for stochastic Wiener integralsevaluation of Wiener integralsscattering in random media

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (9)

Unbiased Monte Carlo evaluation of certain functional integrals ⋮ Lie-trotter product formulas for nonlinear filtering ⋮ An extension of the Black-Scholes model of security valuation ⋮ Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals ⋮ Conditional expectations of Brownian functionals and their applications ⋮ Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes ⋮ Approximation of some stochastic differential equations by the splitting up method ⋮ Approximation of Wiener integrals ⋮ On Simulating Wiener Integrals and Their Expectations

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