Zhang, Qinsheng; Taghvaei, Amirhossein; Chen, Yongxin An optimal control approach to particle filtering. (English) Zbl 1520.93580 Automatica 151, Article ID 110894, 9 p. (2023). MSC: 93E11 93E20 93E14 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yonekura, Shouto; Beskos, Alexandros Online smoothing for diffusion processes observed with noise. (English) Zbl 07633325 J. Comput. Graph. Stat. 31, No. 4, 1344-1360 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Mider, Marcin; Schauer, Moritz; van der Meulen, Frank Continuous-discrete smoothing of diffusions. (English) Zbl 1475.60150 Electron. J. Stat. 15, No. 2, 4295-4342 (2021). MSC: 60J60 65C05 62F15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Beskos, Alexandros; Crisan, Dan; Jasra, Ajay; Kantas, Nikolas; Ruzayqat, Hamza Score-based parameter estimation for a class of continuous-time state space models. (English) Zbl 1544.62296 SIAM J. Sci. Comput. 43, No. 4, A2555-A2580 (2021). MSC: 62M05 60J60 60G35 60H10 60H35 65C05 65C35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Černý, Aleš; Ruf, Johannes Simplified stochastic calculus with applications in economics and finance. (English) Zbl 1487.60102 Eur. J. Oper. Res. 293, No. 2, 547-560 (2021). MSC: 60H05 60H10 60G44 60G48 60G51 91B02 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Sun, Libo; Lee, Chihoon; Hoeting, Jennifer A. A penalized simulated maximum likelihood method to estimate parameters for SDEs with measurement error. (English) Zbl 1417.62235 Comput. Stat. 34, No. 2, 847-863 (2019). MSC: 62M05 60H10 62F12 × Cite Format Result Cite Review PDF Full Text: DOI
Llopis, Francesc Pons; Kantas, Nikolas; Beskos, Alexandros; Jasra, Ajay Particle filtering for stochastic Navier-Stokes signal observed with linear additive noise. (English) Zbl 1391.60083 SIAM J. Sci. Comput. 40, No. 3, A1544-A1565 (2018). MSC: 60G35 93E11 35Q30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Sun, Libo; Lee, Chihoon; Hoeting, Jennifer A. A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations. (English) Zbl 1507.62162 Comput. Stat. Data Anal. 84, 54-67 (2015). MSC: 62-08 60H10 62M05 62P10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yeong, Hoong Chieh; Park, Jun Hyun; Namachchivaya, N. Sri Particle filters in a multiscale environment: with application to the Lorenz-96 atmospheric model. (English) Zbl 1261.60042 Stoch. Dyn. 11, No. 2-3, 569-591 (2011). MSC: 60G35 37N10 60H15 34C29 × Cite Format Result Cite Review PDF Full Text: DOI