The Monte Carlo method for ltering with discrete time observations

  title={The Monte Carlo method for ltering with discrete time observations},
  author={Jean Jacod},
The problem which we address in this work is the following we have an IRd valued state process X Xt t which evolves according to a stochastic di erential equation of the form dXt a Xt dt b Xt dWt L X where is a known distribution on IRd and a b are known functions and W is a d dimensional Wiener process We have noisy observations Y YN at N regularly spaced times and without loss of generality we will assume that these times are N We wish to compute the conditional expectations Y Nf E f XN jY YN… CONTINUE READING
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