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math.PR2015
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…
math.PR2013★ 3 cited
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…
math.PR2009★ 24 cited
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,…