Particle representation for the solution of the filtering problem. Application to the error expansion of filtering discretizations

Thomas G. Kurtz, Dan Crisan, Salvador Ortiz-Latorre

Publication date: 10 April 2021

Central limit and other weak theorems (60F05) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) (L^p)-limit theorems (60F25)

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