On sequential Monte Carlo sampling of discretely observed stochastic differential equations

NSSPW - Nonlinear Statistical Signal Processing Workshop 2006

Volumn , Issue , 2006, Pages 21-24

  Särkkä, Simo ^a  

^a AALTO UNIVERSITY   (Finland)

Author keywords

[No Author keywords available]

Indexed keywords

DIFFERENTIAL EQUATIONS; MONTE CARLO METHODS; NUMERICAL METHODS; PROBABILITY; SAMPLING; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

CONTINUOUS-DISCRETE FILTERING; GIRSANOV THEOREMS; IMPORTANCE RE SAMPLINGS; LIKELIHOOD RATIOS; MATHEMATICAL PROBABILITY; RAO-BLACKWELLIZATION; SEQUENTIAL MONTE CARLO SAMPLING; STOCHASTIC DIFFERENTIAL EQUATIONS;

SIGNAL PROCESSING;

EID: 48049113470     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/NSSPW.2006.4378811     Document Type: Conference Paper

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