2 papers
math.PR2022
An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations
Dan Crisan, Alexander Lobbe, Salvador Ortiz-Latorre
The filtering equations govern the evolution of the conditional distribution of a signal process given partial, and possibly noisy, observations arriving sequentially in time. Thei…
math.NA2021
Pathwise approximations for the solution of the non-linear filtering problem
Dan Crisan, Alexander Lobbe, Salvador Ortiz-Latorre
We consider high order approximations of the solution of the stochastic filtering problem, derive their pathwise representation in the spirit of the earlier work of Clark and Davis…