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math.OC2013★ 38 cited
Hermite spectral method to 1D forward Kolmogorov equation and its application to nonlinear filtering problems
Xue Luo, Stephen S. -T. Yau
In this paper, we investigate the Hermite spectral method (HSM) to numerically solve the forward Kolmogorov equation (FKE). A useful guideline of choosing the scaling factor of the…
math.OC2012★ 47 cited
Complete Real Time Solution of the General Nonlinear Filtering Problem without Memory
Xue Luo, Stephen S. -T. Yau
It is well known that the nonlinear filtering problem has important applications in both military and civil industries. The central problem of nonlinear filtering is to solve the D…