Applications of the balanced method to stochastic differential equations in filtering
DOI10.1515/MCMA.1999.5.1.19zbMATH Open0930.65003OpenAlexW2126841866MaRDI QIDQ4254583FDOQ4254583
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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
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numerical examplesstochastic differential equationsbalanced methodWonham filtercontinuous Markov chainsignal processstrong numerical approximationhidden Markov chain filtering
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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- A benchmark approach to filtering in finance
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