Series Expansion Approximations of Brownian Motion for Non-Linear Kalman Filtering of Diffusion Processes

DOI10.1109/TSP.2014.2303430zbMath1394.94356arXiv1302.5324OpenAlexW1993456352MaRDI QIDQ4579075

Simon M. J. Lyons, Simo Särkkä, Amos J. Storkey

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.5324

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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