A splitting method for nonlinear filtering problems with diffusive and point process observations
From MaRDI portal
Publication:6646464
DOI10.4208/cicp.oa-2024-0075MaRDI QIDQ6646464
Yanzhao Cao, Yongkui Zou, Shimin Chai, Fengshan Zhang
Publication date: 2 December 2024
Published in: Communications in Computational Physics (Search for Journal in Brave)
Could not fetch data.
Cites Work
- Title not available (Why is that?)
- Detecting disease outbreaks using a combined Bayesian network and particle filter approach
- Fundamentals of stochastic filtering
- On a general class of stochastic partial differential equations
- A powerful numerical technique solving Zakai equation for nonlinear filtering
- On the splitting-up method and stochastic partial differential equations
- Nonlinear filtering with correlated Lévy noise characterized by copulas
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Theory of stochastic differential equations with jumps and applications.
- Runge-Kutta-Nyström symplectic splitting methods of order 8
- A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
- On Galerkin approximations for the Zakai equation with diffusive and point process observations
- A Hybrid Sparse-Grid Approach for Nonlinear Filtering Problems Based on Adaptive-Domain of the Zakai Equation Approximations
- Approximation of the Zakaï Equation by the Splitting up Method
- Time-discretization of the zakai equation for diffusion processes observed in correlated noise
- Splitting methods
- Nonlinear filtering of stochastic dynamical systems with Lévy noises
- Stochastic partial differential equations and filtering of diffusion processes
- Solving Nonlinear Filtering Problems in Real Time by Legendre Galerkin Spectral Method
- ADJOINT FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY JUMP DIFFUSION PROCESSES AND ITS APPLICATION TO NONLINEAR FILTERING PROBLEMS
- A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems
- Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences
- NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
- Galerkin Finite Element Methods for Parabolic Problems
- Splitting scheme for backward doubly stochastic differential equations
- Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises
This page was built for publication: A splitting method for nonlinear filtering problems with diffusive and point process observations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6646464)