A particle approximation of the solution of the Kushner–Stratonovitch equation

1999/11/01 by Dan Crisan, D. Crisan, Terry Lyons +1 · 2 citations
Computer Science · Mathematics · #Advanced Computational Techniques in Science and Engineering #Algorithm #Applied mathematics #Branching (polymer chemistry) #Computer science #Convergence (economics) #Differential Equations and Numerical Methods #Key (lock) #Mathematical analysis #Mathematical finance #Mathematics #Order (exchange) #Particle system #Rate of convergence #Sequence (biology) #advanced mathematical theories

paper · pdf · doi:10.1007/s004400050249

crossref issued 1999/11/01 · crossref published 1999/11/01 · crossref published-print 1999/11/01 · openalex publication_date 1999/11/01 · crossref created 2002/08/25 · crossref deposited 2022/05/09 · openalex created_date 2025/10/10 · crossref indexed 2026/02/07 · openalex updated_date 2026/07/23

Citations

• Nonlinear filtering and measure-valued processes
• Convergence of a Branching Particle Method to the Solution of the Zakai Equation
• Novel approach to nonlinear/non-Gaussian Bayesian state estimation

Cited by

• Variational Bayesian identification and prediction of stochastic nonlinear dynamic causal models
• Monte Carlo method [wikipedia]