Sequential quasi-Monte Carlo: introduction for non-experts, dimension reduction, application to partly observed diffusion processes

DOI10.1007/978-3-319-91436-7_5zbMath1417.65009arXiv1706.05305OpenAlexW2963118531MaRDI QIDQ1722509

Nicolas Chopin, Mathieu Gerber

Publication date: 18 February 2019

Full work available at URL: https://arxiv.org/abs/1706.05305

zbMATH Keywords

state-space modelssequential Monte Carlodiffusion modelsparticle filteringrandomised quasi-Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01)

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