Deep Learning for the Benes Filter

@article{Lobbe2022DeepLF,
  title={Deep Learning for the Benes Filter},
  author={Alexander Lobbe},
  journal={ArXiv},
  year={2022},
  volume={abs/2203.05561}
}
The Benes filter is a well-known continuous-time stochastic filtering model in one dimension that has the advantage of being explicitly solvable. From an evolution equation point of view, the Benes filter is also the solution of the filtering equations given a particular set of coefficient functions. In general, the filtering stochastic partial differential equations (SPDE) arise as the evolution equations for the conditional distribution of an underlying signal given partial, and possibly… 

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