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

DOI10.1137/0141043MaRDI QIDQ3933729zbMATH OpenOpenAlexFDO

Authors 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

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

Cited in

(9)

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

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