Multivariate feedback particle filter rederived from the splitting-up scheme

DOI10.4208/eajam.2022-184.030823zbMath1541.93361MaRDI QIDQ6569307

Huimin Miao, Xue Luo

Publication date: 9 July 2024

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic flowsplitting-up methodfeedback particle filterinvariance property of \(f\)-divergence

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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