Multilevel Particle Filters
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Publication:4599144
DOI10.1137/17M1111553zbMath1477.62260arXiv1510.04977OpenAlexW2962749494MaRDI QIDQ4599144
Yan Zhou, Kengo Kamatani, Ajay Jasra, Kody J. H. Law
Publication date: 18 December 2017
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.04977
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Stochastic particle methods (65C35)
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