A Kusuoka-Lyons-Victoir particle filter

DOI10.1098/RSPA.2013.0076MaRDI QIDQ5362155zbMATH OpenOpenAlexFDO

Authors Dan Crisan, Salvador Ortiz-Latorre

Publication date 29 September 2017

Published in Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1098/rspa.2013.0076

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(13)

• Multilevel particle filters for the non-linear filtering problem in continuous time
• A high order time discretization of the solution of the non-linear filtering problem
• Generalised particle filters with Gaussian mixtures
• The auxiliary iterated extended Kalman particle filter
• The adaptive patched cubature filter and its implementation
• Efficient particle filtering for stochastic Korteweg-de Vries equations
• Adaptive meshfree backward SDE filter
• Diffusion map-based algorithm for gain function approximation in the feedback particle filter
• Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
• The filtering problem: an application of weak approximations of SDEs
• An optimal control approach to particle filtering
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
• Unbiased estimation of the solution to Zakai's equation

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