Markov chain approximations to filtering equations for reflecting diffusion processes.
type: Item
instance of: scholarly article
title: Markov chain approximations to filtering equations for reflecting diffusion processes.
zbMATH Open document ID: 1075.60033
author: Michael A. Kouritzin
author: Hongwei Long
author: Wei Sun
published in: Stochastic Processes and their Applications
publication date: 2005-11-29T00:00:00Z
review text: Markov chain approximations to the Duncan-Mortensen-Zakai SPDE for the unnormalized density in the filtering problem on regular, bounded domains are studied. The signal process is a diffusion reflected on the boundary of a \(d\)-dimensional rectangle, with a symmetrizable generator. The approximating Markov chains are based on a wide band observation noise approximation, dividing the signal state space into cells and utilizing an empirical measure process estimation. The convergence of approximations to the conditional density has been proven and the computational efficiency of the method has been compared to previously developed branching particle filter and interacting particle filter methods by means of simulations.
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 60H15
zbMATH DE Number: 2233832
zbMATH Keywords: nonlinear filtering
MaRDI profile type: MaRDI publication profile
full work available at URL: j.spa.2003.10.013
OpenAlex ID: W2087011720
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DOI: 10.1016/J.SPA.2003.10.013
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description: scientific article; zbMATH DE number 2233832