An implicit algorithm of solving nonlinear filtering problems

DOI10.4208/CICP.180313.130214AMaRDI QIDQ5372274zbMATH OpenOpenAlexFDO

Authors Feng Bao, Yanzhao Cao, Xiaoying Han

Publication date 27 October 2017

Published in Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/519aa6398b858fae781d86922685d5edefd5a7b9

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Filtering in stochastic control theory (93E11)

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