Unbiased estimation of the solution to Zakai's equation

DOI10.1515/MCMA-2020-2061OpenAlexW3005339827MaRDI QIDQ777905FDOQ777905

Hamza M. Ruzayqat, Ajay Jasra

Publication date: 8 July 2020

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.01270

zbMATH Keywords

multilevel Monte Carloparticle filtersunbiased estimationnon-linear filtering

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) PDEs with randomness, stochastic partial differential equations (35R60)

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• Random-Weight Particle Filtering of Continuous Time Processes
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• A Kusuoka–Lyons–Victoir particle filter
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Cited In (4)

• Unbiased Estimation of the Solution to Zakai's Equation
• Unbiased Estimation Using Underdamped Langevin Dynamics
• Unbiased parameter inference for a class of partially observed Lévy-process models
• Splitting-up spectral method for nonlinear filtering problems with correlation noises

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