Observation sampling and quantisation for continuous-time estimators.

DOI10.1016/S0304-4149(99)00117-9zbMath1045.60060MaRDI QIDQ1877401

Nigel J. Newton

Publication date: 7 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

weak convergenceapproximationnonlinear filteringover-samplingquantisationcontinuous-time Bayesian estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (2)

Monte Carlo methods for backward equations in nonlinear filtering ⋮ Optimal quantization methods for nonlinear filtering with discrete-time observations

Cites Work

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