73 citations · 102 across the 12 of their papers we have counts for
4 papers · 1 filter
A Stable Particle Filter in High-Dimensions
Alex Beskos, Dan Crisan, Ajay Jasra +2
We consider the numerical approximation of the filtering problem in high dimensions, that is, when the hidden state lies in with large. For low dimensional probl…
A Probabilistic approach to classical solutions of the master equation for large population equilibria
Jean-François Chassagneux, Dan Crisan, François Delarue
We analyze a class of nonlinear partial differential equations (PDEs) defined on where is the Wasse…
A second order time discretization of the solution of the non-linear filtering problem
Dan Crisan, Salvador Ortiz-Latorre
The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are parametrized by the ob…
The filtering equations revisited
Thomas Cass, Martin Clark, Dan Crisan
The problem of nonlinear filtering has engendered a surprising number of mathematical techniques for its treatment. A notable example is the change-of--probability-measure method o…