Monte Carlo methods for backward equations in nonlinear filtering

Advances in Applied Probability

Volumn 41, Issue 1, 2009, Pages 63-100

  Milstein, G N ^a   Tretyakov, M V ^b  

^a URAL FEDERAL UNIVERSITY   (Russian Federation)

^b UNIVERSITY OF LEICESTER   (United Kingdom)

Author keywords

Kallianpur Striebel formula; Mean square and weak numerical methods; Monte Carlo technique; Pathwise filtering equation; Stochastic partial differential quation

Indexed keywords

KALLIANPUR-STRIEBEL FORMULA; MEAN-SQUARE AND WEAK NUMERICAL METHODS; MONTE CARLO TECHNIQUE; PATHWISE FILTERING EQUATION; STOCHASTIC PARTIAL DIFFERENTIAL QUATION;

CONVERGENCE OF NUMERICAL METHODS; NONLINEAR EQUATIONS; NONLINEAR FILTERING; NUMBER THEORY; PARTIAL DIFFERENTIAL EQUATIONS; RANDOM PROCESSES; STOCHASTIC PROGRAMMING;

MONTE CARLO METHODS;

EID: 67649657680     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1240319577     Document Type: Article

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