Applications of the balanced method to stochastic differential equations in filtering

Monte Carlo Methods and Applications

Volumn 5, Issue 1, 1999, Pages 19-38

  Fischer, Paul ^a   Platen, Eckhard ^b  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Balanced method; Hidden Markov chain filtering; Stochastic differential equations; Strong numerical approximations

Indexed keywords

EID: 1542666210     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1515/mcma.1999.5.1.19     Document Type: Article

References (6)

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3. N. Hofmann and E. Platen. Stability of Superimplicit Numerical Methods for Stochastic Differential Equations. Fields Institute Communications, 9 (1996), 93-104.
4. P.E. Kloeden and E. Platen. Numerical Solution of Stochastic Differential Equations, vol.23 of Applications of Mathematics, Springer-Verlag, 1995.
5. G. N. Milstein. Numerical integration of stochastic differential equations. Kluwer Academic Publishers, Dordrecht, 1995.
6. G. N. Milstein, E. Platen and G. Schurz. Balanced implicit methods for stiff stochastic systems. SIAM Journal Numerical Analysis, 35 (1994), 1010-1019. (Pubitemid 128466394)