Non-Linear Continuous-Discrete Smoothing by Basis Function Expansions of Brownian Motion
This paper is concerned with inferring the state of a Itô stochastic differential equation (SDE) from noisy discrete-time measurements. The problem is approached by considering basis function expansions of Brownian motion, that as a consequence give approximations to the underlying stochastic differential equation in terms of an ordinary differential equation with random coefficients. This allows