Monte Carlo methods for backward equations in nonlinear filtering
Электронный научный архив УРФУ
Информация об архиве | Просмотр оригинала| Поле | Значение | |
| Заглавие |
Monte Carlo methods for backward equations in nonlinear filtering
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| Автор |
Milstein, G. N.
Tretyakov, M. V. |
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| Тематика |
KALLIANPUR-STRIEBEL FORMULA
MEAN-SQUARE AND WEAK NUMERICAL METHODS MONTE CARLO TECHNIQUE PATHWISE FILTERING EQUATION STOCHASTIC PARTIAL DIFFERENTIAL QUATION KALLIANPUR-STRIEBEL FORMULA MEAN-SQUARE AND WEAK NUMERICAL METHODS MONTE CARLO TECHNIQUE PATHWISE FILTERING EQUATION STOCHASTIC PARTIAL DIFFERENTIAL QUATION CONVERGENCE OF NUMERICAL METHODS NONLINEAR EQUATIONS NONLINEAR FILTERING NUMBER THEORY PARTIAL DIFFERENTIAL EQUATIONS RANDOM PROCESSES STOCHASTIC PROGRAMMING MONTE CARLO METHODS |
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| Описание |
We consider Monte Carlo methods for the classical nonlinear filtering problem. The first method is based on a backward pathwise filtering equation and the second method is related to a backward linear stochastic partial differential equation. We study convergence of the proposed numerical algorithms.The considered methods have such advantages as a capability in principle to solve filtering problems of large dimensionality, reliable error control, and recurrency. Their efficiency is achieved due to the numerical procedures which use effective numerical schemes and variance reduction techniques. The results obtained are supported by numerical experiments. © Applied Probability Trust 2009.
Engineering and Physical Sciences Research Council, EPSRC: EP/D049792/1 |
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| Дата |
2024-04-24T12:38:27Z
2024-04-24T12:38:27Z 2009 |
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| Тип |
Article
Journal article (info:eu-repo/semantics/article) Published version (info:eu-repo/semantics/publishedVersion) |
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| Идентификатор |
Milstein, G. N., & Tretyakov, M. V. (2009a). Monte Carlo methods for backward equations in nonlinear filtering. Advances in Applied Probability, 41(1), 63–100. doi:10.1239/aap/1240319577
0001-8678 Final All Open Access, Bronze, Green https://www.cambridge.org/core/services/aop-cambridge-core/content/view/7632DC7A79D939567D9BE6DCBF9018F9/S0001867800003141a.pdf/div-class-title-monte-carlo-methods-for-backward-equations-in-nonlinear-filtering-div.pdf http://elar.urfu.ru/handle/10995/132612 10.1239/aap/1240319577 |
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| Язык |
en
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| Права |
Open access (info:eu-repo/semantics/openAccess)
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| Формат |
application/pdf
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| Издатель |
Cambridge University Press (CUP)
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| Источник |
Advances in Applied Probability
Advances in Applied Probability |
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