6 citations · 7 across the 14 of their papers we have counts for
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math.PR2017★ 1 cited
A high order time discretization of the solution of the non-linear filtering problem
Dan Crisan, Salvador Ortiz-Latorre
The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are parametrized by the ob…
math.PR2017★ 6 cited
Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise
David R. Baños, Salvador Ortiz-Latorre, Andrey Pilipenko +1
In this paper we prove the existence of strong solutions to a SDE with a generalized drift driven by a multidimensional fractional Brownian motion for small Hurst parameters H<1/2.…