most citedSequential discretisation schemes for a class of stochastic differential equations and their application to Bayesian filtering

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stat.CO2022★ 1 cited

Sequential discretisation schemes for a class of stochastic differential equations and their application to Bayesian filtering

Deniz Akyildiz, Dan Crisan, Joaquin Miguez

We introduce a predictor-corrector discretisation scheme for the numerical integration of a class of stochastic differential equations and prove that it converges with weak order 1…