Stiffness of approximate nonlinear filtering equations (Q1881847)

This paper describes a new approach to synthesizing nonlinear filtering algorithms for the Markov processes described by stiff systems of stochastic differential equations in order to eleminate the stiffness property via integrals. The integrals are found for the so-called truncated system of equations and ensure the required stability of the numerical methods applied to solve nonlinear equations with a large integration step.