Series Expansion Approximations of Brownian Motion for Non-Linear Kalman Filtering of Diffusion Processes - researchr publication authors

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Simon M. J. Lyons, Simo Särkkä, Amos J. Storkey. Series Expansion Approximations of Brownian Motion for Non-Linear Kalman Filtering of Diffusion Processes. IEEE Transactions on Signal Processing, 62(6):1514-1524, 2014. [doi]

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