Sequential discretization schemes for a class of stochastic differential equations and their application to Bayesian filtering

DOI10.1137/23M1560124MaRDI QIDQ6491316

Joaquín Míguez, Dan Crisan, Ömer Deniz Akyildiz

Publication date: 24 April 2024

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsnumerical schemesdata assimilationtime discretizationensemble Kalman filtererror rates

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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