5 papers
On a class of constrained particle filters for continuous-discrete state space models
Utku Erdogan, Gabriel J. Lord, Joaquin Miguez
Particle filters (PFs) are recursive Monte Carlo algorithms for Bayesian tracking and prediction in state space models. This paper addresses continuous-discrete filtering problems,…
On a class of constrained Bayesian filters and their numerical implementation in high-dimensional state-space Markov models
Utku Erdogan, Gabriel J. Lord, Joaquin Miguez
Bayesian filtering is a key tool in many problems that involve the online processing of data, including data assimilation, optimal control, nonlinear tracking and others. Unfortuna…
Preserving invariant domains and strong approximation of stochastic differential equations
Utku Erdogan, Gabriel Lord
In this paper, we develop numerical methods for solving Stochastic Differential Equations (SDEs) with solutions that evolve within a hypercube in . Our approach i…
Strong Convergence of a GBM Based Tamed Integrator for SDEs and an Adaptive Implementation
Utku Erdogan, Gabriel J. Lord
We introduce a tamed exponential time integrator which exploits linear terms in both the drift and diffusion for Stochastic Differential Equations (SDEs) with a one sided globally…
A New Class of Exponential Integrators for Stochastic Differential Equations With Multiplicative Noise
Utku Erdoğan, Gabriel J. Lord
In this paper, we present new types of exponential integrators for Stochastic Differential Equations (SDEs) that take the advantage of the exact solution of (generalised) geometric…