Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme

DOI10.1016/j.camwa.2011.02.036zbMath1221.65015OpenAlexW1977285712MaRDI QIDQ639060

Antonella Calzolari, Giovanna Nappo, Patrick Florchinger

Publication date: 18 September 2011

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2011.02.036

zbMATH Keywords

rate of convergencestrong approximationstochastic delay differential equationconditional lawpoint delay

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Diffusion processes (60J60) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Discrete Approximations of Controlled Stochastic Systems with Memory: A Survey ⋮ The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations ⋮ Convergence and stability of the Milstein scheme for stochastic differential equations with piecewise continuous arguments ⋮ Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models ⋮ Stackelberg equilibria in a continuous-time vertical contracting model with uncertain demand and delayed information

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unique characterization of conditional distributions in nonlinear filtering
• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• Robust approximation in a filtering problem with real state space and counting observations
• Robustness of the nonlinear filter
• Discrete-time approximations of stochastic delay equations: the Milstein scheme.
• A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag
• Approximation of Nonlinear Filters for Markov Systems with Delayed Observations
• A Delayed Black and Scholes Formula
• Convergence in Nonlinear Filtering for Stochastic Delay Systems
• Discrete approximation of nonlinear filtering for stochastic delay equations
• Numerical approximations for nonlinear stochastic systems with delays

This page was built for publication: Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme