Square-root filtering via covariance SVD factors in the accurate continuous-discrete extended-cubature Kalman filter

DOI10.1016/J.APNUM.2021.08.013zbMATH Open1482.65008arXiv2311.11299MaRDI QIDQ6459931

Maria Vyacheslavovna Kulikova, G. Yu. Kulikov

Publication date: 19 November 2023

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)

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