A Kusuoka–Lyons–Victoir particle filter

DOI10.1098/rspa.2013.0076zbMath1371.60069OpenAlexW1965119649MaRDI QIDQ5362155

Salvador Ortiz-Latorre, Dan Crisan

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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