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Showing 2008 · math.PRShow all
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math.PR2008
The rate of convergence of the Walk on Spheres Algorithm
Ilia Binder, Mark Braverman
In this paper we examine the rate of convergence of one of the standard algorithms for emulating exit probabilities of Brownian motion, the Walk on Spheres (WoS) algorithm. We obta…
math.PR2008
Discrete time nonlinear filters with informative observations are stable
Ramon van Handel
The nonlinear filter associated with the discrete time signal-observation model is known to forget its initial condition as regardless of the observation s…