Unbiased filtering of a class of partially observed diffusions

DOI10.1017/apr.2021.50OpenAlexW3005130686MaRDI QIDQ5055324

Fangyuan Yu, Ajay Jasra, Kody J. H. Law

Publication date: 13 December 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.03747

zbMATH Keywords

multilevel Monte Carlopartially observed diffusionsrandomization methods

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05)

Related Items (4)

Unbiased Estimation Using Underdamped Langevin Dynamics ⋮ On Unbiased Estimation for Discretized Models ⋮ A randomized multi-index sequential Monte Carlo method ⋮ Unbiased estimation using a class of diffusion processes

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