A second order time discretization of the solution of the non-linear filtering problem

Dan Crisan; Salvador Ortiz-Latorre

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arXiv · 1408.5678

A second order time discretization of the solution of the non-linear filtering problem

Dan Crisan·Salvador Ortiz-Latorre

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Abstract

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 observation path. We introduce a new time discretisation of these functionals corresponding to a chosen partition of the time interval and show that the convergence rate of discretisation is proportional with the square of the mesh of the partition.

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Dan Crisan, Salvador Ortiz-Latorre. 2014-08-25. A second order time discretization of the solution of the non-linear filtering problem. https://arxiv.org/abs/1408.5678

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