Multilevel particle filters for the non-linear filtering problem in continuous time

DOI10.1007/s11222-020-09951-9zbMath1452.62696arXiv1907.06328OpenAlexW3036022255MaRDI QIDQ2209712

Jeremy Heng, Ajay Jasra, Fangyuan Yu

Publication date: 4 November 2020

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.06328

zbMATH Keywords

nonlinear filteringparticle filtersmultilevel Monte Carlo

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Diffusion processes (60J60)

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