Showing 2025Show all
2 papers · 1 filter
stat.ME2025
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…
math.NA2025
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…