Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems

Bayesian Analysis

Volumn 3, Issue 3, 2008, Pages 555-584

  Särkkä, Simo ^a   Sottinen, Tommi ^b  

^a AALTO UNIVERSITY   (Finland)

^b REYKJAVIK UNIVERSITY   (Iceland)

Author keywords

Continuous discrete filtering; Girsanov theorem; Particle filtering

Indexed keywords

EID: 80051698157     PISSN: 19360975     EISSN: 19316690     Source Type: Journal    
DOI: 10.1214/08-BA322     Document Type: Article

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