An efficient Monte Carlo scheme for Zakai equations

Author:

Beck Christian,Becker Sebastian,Cheridito PatrickORCID,Jentzen Arnulf,Neufeld Ariel

Funder

Nanyang Technological University

Deutsche Forschungsgemeinschaft

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis

Reference39 articles.

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4. Recent advances in nonlinear filtering with a financial application to derivatives hedging under incomplete information;Ceci,2017

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