A Wasserstein coupled particle filter for multilevel estimation

Mathematics

• Mean Square Error 100%
• Computational Effort 100%
• Discretization 50%
• Time Discretization 50%
• Numerical Algorithm 50%
• Filtering Problem 50%
• Central Limit Theorem 50%
• Asymptotic Variance 50%
• Transition Density 50%
• Monte Carlo 50%
• Numerical Example 50%
• Discrete Time 50%
• Diffusion Process 50%

Keyphrases

• Unstable Dynamics 33%
• Change of Measure Techniques 33%