A second order time discretization of the solution of the non-linear filtering problem
Probability
2014-08-26 v1
Abstract
The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are parametrized by the observation path. We introduce a new time discretisation of these functionals corresponding to a chosen partition of the time interval and show that the convergence rate of discretisation is proportional with the square of the mesh of the partition.
Keywords
Cite
@article{arxiv.1408.5678,
title = {A second order time discretization of the solution of the non-linear filtering problem},
author = {Dan Crisan and Salvador Ortiz-Latorre},
journal= {arXiv preprint arXiv:1408.5678},
year = {2014}
}
Comments
28 pages