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stat.CO2022
Nested smoothing algorithms for inference and tracking of heterogeneous multi-scale state-space systems
Sara Pérez-Vieites, Harold Molina-Bulla, Joaquin Miguez
Multi-scale problems, where variables of interest evolve in different time-scales and live in different state-spaces, can be found in many fields of science. Here, we introduce a n…
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…