Sequential Discretization Schemes for a Class of Stochastic Differential Equations and their Application to Bayesian Filtering
Author:
Affiliation:
1. Department of Mathematics, Imperial College London, London, UK.
2. Universidad Carlos III de Madrid, Leganés, Madrid, Spain.
Funder
Office of Naval Research
Agencia Estatal de Investigación
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Reference36 articles.
1. Cubature Kalman Filters
2. A review of operational methods of variational and ensemble‐variational data assimilation
3. Multilevel sequential Monte Carlo samplers
4. Stable Approximation Schemes for Optimal Filters
5. On the stability of interacting processes with applications to filtering and genetic algorithms
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