Quasi-exact approximation of hidden Markov chain filters

Publisher:
Serial Publications
Publication Type:
Journal Article
Citation:
Communications on Stochastic Analysis, 2010, 4 (1), pp. 129 - 142
Issue Date:
2010-01
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This paper studies the application of exact simulation methods for multi-dimensional multiplicative noise stochastic differential equations to filtering. Stochastic differential equations with multiplicative noise naturally occur as Zakai equation in hidden Markov chain filtering. The paper proposes a quasi-exact approximation method for hidden Markov chain filters, which can be applied when discrete time approximations, such as the Euler scheme, may fail in practice.
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