KAUST Grant NumberBAS/1/1681-01-01
Preprint Posting Date2020-02-04
Online Publication Date2020-05-26
Print Publication Date2020-06-01
Embargo End Date2021-04-15
Permanent link to this recordhttp://hdl.handle.net/10754/661826
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AbstractIn the following article, we consider the non-linear filtering problem in continuous time and in particular the solution to Zakai's equation or the normalizing constant. We develop a methodology to produce finite variance, almost surely unbiased estimators of the solution to Zakai's equation. That is, given access to only a first-order discretization of solution to the Zakai equation, we present a method which can remove this discretization bias. The approach, under assumptions, is proved to have finite variance and is numerically compared to using a particular multilevel Monte Carlo method.
CitationRuzayqat, H. M., & Jasra, A. (2020). Unbiased estimation of the solution to Zakai’s equation. Monte Carlo Methods and Applications, 26(2), 113–129. doi:10.1515/mcma-2020-2061
SponsorsKing Abdullah University of Science and Technology Award identifier / Grant number: BAS/1/1681-01-01 Both authors were supported by KAUST baseline funding.