Nonlinear filtering for stochastic systems with fixed delay: Approximation by a modified Milstein scheme

Author:

Calzolari Antonella,Florchinger Patrick,Nappo Giovanna

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modelling and Simulation

Reference18 articles.

1. On the Volterra and other nonlinear models of interacting populations;Goel;Rev. Modern Phys.,1971

2. A delayed Black and Scholes formula;Arriojas;Stoch. Anal. Appl.,2007

3. Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems;Kushner,1990

4. Time discretization of nonlinear filtering equations;Le Gland,1989

5. Numerical methods for solving the stochastic filtering problem;Crisan,2002

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