Numerical Methods for Solving the Filtering Problem

  • Alan Bain
  • Dan Crisan
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 60)


This chapter contains an overview of six classes of numerical methods for solving the filtering problem. For each of the six classes, we give a brief description of the ideas behind the methods and state some related results. The last class of methods presented here, particle methods, is developed and studied in depth in Chapter 9 for the continuous time framework and in Chapter 10 for the discrete one.


Particle Method Spectral Approach Molten Carbonate Fuel Cell Filter Problem Sequential Monte Carlo Method 
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Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  • Alan Bain
    • 1
  • Dan Crisan
    • 2
  1. 1.BNP Paribas 10 Harewood AvLondonUnited Kingdom
  2. 2.Department of MathematicsImperial College London 180 Queen’s GateLondonUnited Kingdom

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