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20122019
most citedComplete Real Time Solution of the General Nonlinear Filtering Problem without Memory

47 citations · 103 across the 9 of their papers we have counts for

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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…