Hermite Spectral Method to 1-D Forward Kolmogorov Equation and Its Application to Nonlinear Filtering Problems

Xue Luo, Stephen S.-T. Yau. Hermite Spectral Method to 1-D Forward Kolmogorov Equation and Its Application to Nonlinear Filtering Problems. IEEE Trans. Automat. Contr., 58(10):2495-2507, 2013. [doi]

Abstract

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