Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme

DOI10.1016/j.camwa.2011.02.036zbMath1221.65015MaRDI 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

zbMATH Keywords

rate of convergence; strong approximation; stochastic delay differential equation; conditional law; point delay

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60J60: Diffusion processes

34K50: Stochastic functional-differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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