The Monte-Carlo method for filtering with discrete-time observations

Probability Theory and Related Fields

Volumn 120, Issue 3, 2001, Pages 346-368

  Del Moral, Pierre ^a   Jacod, Jean ^b   Protter, Philip ^c,d  

^a UNIVERSITÉ DE TOULOUSE   (France)

^b SORBONNE UNIVERSITÉ   (France)

^c Department of Obstetrics Gynecology   (United States)

^d PURDUE UNIVERSITY   (United States)

Author keywords

Filtering; Monte Carlo; Signal detection

Indexed keywords

EID: 0035640255     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/PL00008786     Document Type: Article

References (6)

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3. Bally, V., Talay, D.: The law of the Euler scheme for stochastic differential equations: I. Convergence rate of the distribution fuction, Probab. Theory Related Fields., 104, 43-60 (1996)
4. Bally, V., Talay, D.: The law of the Euler scheme for stochastic differential equations: II. Approximation of the density, Monte Carlo Methods and Applications, 2, 93-128 (1996)
5. Kurtz, T.G., Protter, P.: Wong Zakai corrections, random evolutions, and simulation schemes for SDE's, Stochastic Analysis, ed. Mayer-Wolf, Merzbach and Schwarz, AcademicPress: New York, 331-146 (1991)
6. Ledoux, M., Talagrand, M.: Probability in Banach Spaces, Isoperimetry and Processes, Springer-Verlag, 23, (1991)