Multivariate feedback particle filter rederived from the splitting-up scheme

DOI10.4208/EAJAM.2022-184.030823MaRDI QIDQ6569307zbMATH OpenFDO

Authors Huimin Miao, Xue Luo

Publication date 9 July 2024

Published in East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/EAJAM.2022-184.030823

zbMATH Keywords

feedback particle filterinvariance property of \(f\)-divergencesplitting-up methodstochastic flow

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11)

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Cites work

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• Time-discretization of the zakai equation for diffusion processes observed in correlated noise

Cited in

(1)

• Time-varying feedback particle filter

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