Applications of the balanced method to stochastic differential equations in filtering

DOI10.1515/mcma.1999.5.1.19zbMath0930.65003OpenAlexW2126841866MaRDI QIDQ4254583

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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)

Related Items (3)

A class of split-step balanced methods for stiff stochastic differential equations ⋮ The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations ⋮ A benchmark approach to filtering in finance

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