Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme
DOI10.1016/j.camwa.2011.02.036zbMath1221.65015OpenAlexW1977285712MaRDI QIDQ639060
Antonella Calzolari, Giovanna Nappo, Patrick Florchinger
Publication date: 18 September 2011
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2011.02.036
rate of convergencestrong approximationstochastic delay differential equationconditional lawpoint delay
Filtering in stochastic control theory (93E11) Diffusion processes (60J60) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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