Robustness and convergence of approximations to nonlinear filters for jump-diffusions

zbMath0951.93069MaRDI QIDQ1375892

Harold J. Kushner

Publication date: 2 January 2001

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

weak convergenceMonte Carlo methodsnonlinear filteringMarkov chainjump-diffusion reflected process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10)

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