A Girsanov particle filter in nonlinear engineering dynamics

DOI10.1016/J.PHYSLETA.2008.12.024zbMath1227.76061OpenAlexW2017948334WikidataQ60585172 ScholiaQ60585172MaRDI QIDQ649694

Juan-Miguel Gracia

Publication date: 5 December 2011

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2008.12.024

zbMATH Keywords

Girsanov transformationstochastic filteringlocal linearizationstate and parameter estimationsweak Monte Carlo simulations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Flows in porous media; filtration; seepage (76S05) Stochastic analysis applied to problems in fluid mechanics (76M35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generation, random and stochastic difference and differential equations (37H10)

Cites Work

• Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
• Simulation of stochastic differential equations through the local linearization method. A comparative study
• Explorations of a family of stochastic Newmark methods in engineering dynamics
• Sequential Monte Carlo Methods in Practice
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