24 citations · 27 across the 3 of their papers we have counts for
4 papers
Asymptotic error distributions of the Euler method for continuous-time nonlinear filtering
Teppei Ogihara, Hideyuki Tanaka
We deduce the asymptotic error distribution of the Euler method for the nonlinear filtering problem with continuous-time observations. Previous works by several authors have shown…
A new proof for the convergence of Picard's filter using partial Malliavin calculus
Hideyuki Tanaka
The discrete-time approximation for nonlinear filtering problems is related to both of strong and weak approximations of stochastic differential equations. In this paper, we propos…
Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method
Hideyuki Tanaka, Toshihiro Yamada
Motivated by weak convergence results in the paper of Takahashi and Yoshida (2005), we show strong convergence for an accelerated Euler-Maruyama scheme applied to perturbed stochas…
An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
Hideyuki Tanaka, Arturo Kohatsu-Higa
Weak approximations have been developed to calculate the expectation value of functionals of stochastic differential equations, and various numerical discretization schemes (Euler,…