Abstract
In this paper, we consider a filtering problem where the observation is a function of a diffusion corrupted by an independent white noise. We estimate the error caused by a discretization of the time interval ; we obtain some approximations of the optimal filter which can be computed with Monte-Carlo methods and we study the order of convergence.
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References
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© 1984 Springer-Verlag
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Picard, J. (1984). Approximation of nonlinear filtering problems and order of convergence. In: Korezlioglu, H., Mazziotto, G., Szpirglas, J. (eds) Filtering and Control of Random Processes. Lecture Notes in Control and Information Sciences, vol 61. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0006572
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DOI: https://doi.org/10.1007/BFb0006572
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