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stat.ML2022★ 1 cited
Deep Learning for the Benes Filter
Alexander Lobbe
The Benes filter is a well-known continuous-time stochastic filtering model in one dimension that has the advantage of being explicitly solvable. From an evolution equation point o…
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…