Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering
Probability
2018-09-10 v3
Abstract
We deduce the asymptotic error distribution of the Euler method for the nonlinear filtering problem with continuous-time observations. Previous works by several authors have shown that the error structure of the method is characterized by conditional expectations of some functionals of multiple stochastic integrals. Our main result is a proof of the stable convergence of a sequence of such conditional expectations, using the technique of martingale limit theorems in the spirit of Jacod.
Cite
@article{arxiv.1511.06520,
title = {Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering},
author = {Teppei Ogihara and Hideyuki Tanaka},
journal= {arXiv preprint arXiv:1511.06520},
year = {2018}
}
Comments
major revision: 23 pages, the title is modified, gaps in the proofs are filled