133 citations · 631 across the 63 of their papers we have counts for
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3 papers · 1 filter
math.PR2013★ 1 cited
Kusuoka-Stroock gradient bounds for the solution of the filtering equation
Dan Crisan, Christian Litterer, Terry Lyons
We obtain sharp gradient bounds for perturbed diffusion semigroups. In contrast with existing results, the perturbation is here random and the bounds obtained are pathwise. Our app…
stat.CO2013★ 19 cited
Nested particle filters for online parameter estimation in discrete-time state-space Markov models
Dan Crisan, Joaquin Miguez
We address the problem of approximating the posterior probability distribution of the fixed parameters of a state-space dynamical system using a sequential Monte Carlo method. The…
math.PR2013★ 2 cited
Generalised Particle Filters with Gaussian Mixtures
Dan Crisan, Kai Li
Stochastic filtering is defined as the estimation of a partially observed dynamical system. A massive scientific and computational effort is dedicated to the development of numeric…