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math.NA2021
Bayesian Inference for Fluid Dynamics: A Case Study for the Stochastic Rotating Shallow Water Model
Peter Jan van Leeuwen, Dan Crisan, Oana Lang +1
In this work, we use a tempering-based adaptive particle filter to infer from a partially observed stochastic rotating shallow water (SRSW) model which has been derived using the S…
math.NA2021
Pathwise approximations for the solution of the non-linear filtering problem
Dan Crisan, Alexander Lobbe, Salvador Ortiz-Latorre
We consider high order approximations of the solution of the stochastic filtering problem, derive their pathwise representation in the spirit of the earlier work of Clark and Davis…