Applications of the balanced method to stochastic differential equations in filtering

DOI10.1515/MCMA.1999.5.1.19MaRDI QIDQ4254583zbMATH OpenOpenAlexFDO

Authors

Publication date 1 February 2000

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.1999.5.1.19

zbMATH Keywords

numerical examplesstochastic differential equationsbalanced methodWonham filtercontinuous Markov chainsignal processstrong numerical approximationhidden Markov chain filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(6)

• scientific article; zbMATH DE number 4016158 (Why is no real title available?)
• A benchmark approach to filtering in finance
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
• A class of split-step balanced methods for stiff stochastic differential equations
• Balanced Approximation of Stochastic Systems
• scientific article; zbMATH DE number 3844792 (Why is no real title available?)

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