Sequential discretization schemes for a class of stochastic differential equations and their application to Bayesian filtering
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Publication:6491316
DOI10.1137/23M1560124MaRDI QIDQ6491316
Joaquín Míguez, Dan Crisan, Ömer Deniz Akyildiz
Publication date: 24 April 2024
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
stochastic differential equationsnumerical schemesdata assimilationtime discretizationensemble Kalman filtererror rates
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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