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ub_zakai.pdf
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Accepted manuscript
Embargo End Date:
2021-04-15
Type
ArticleAuthors
Ruzayqat, Hamza M.Jasra, Ajay

KAUST Grant Number
BAS/1/1681-01-01Date
2020-05-26Preprint Posting Date
2020-02-04Online Publication Date
2020-05-26Print Publication Date
2020-06-01Embargo End Date
2021-04-15Permanent link to this record
http://hdl.handle.net/10754/661826
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In 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.Citation
Ruzayqat, 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-2020-2061Sponsors
King Abdullah University of Science and Technology Award identifier / Grant number: BAS/1/1681-01-01 Both authors were supported by KAUST baseline funding.Publisher
De GruyterarXiv
2002.01270Additional Links
https://www.degruyter.com/view/journals/mcma/ahead-of-print/article-10.1515-mcma-2020-2061/article-10.1515-mcma-2020-2061.xmlae974a485f413a2113503eed53cd6c53
10.1515/mcma-2020-2061