title: Nonlinear Kalman filter based on duality relations between continuous and discrete-state stochastic processes.
abstract: An alternative application of duality relations of stochastic processes is demonstrated. Although conventional usages of the duality relations need analytical solutions for the dual processes, here I employ numerical solutions of the dual processes and investigate the usefulness. As a demonstration, estimation problems of hidden variables in stochastic differential equations are discussed. Employing algebraic probability theory, a little complicated birth-death process is derived from the stochastic differential equations, and an estimation method based on the ensemble Kalman filter is proposed. As a result, the possibility for making faster computational algorithms based on the duality concepts is shown.
authors.affiliation: Graduate School of Science and Engineering, Saitama University, 255 Shimo-Okubo, Sakura, Saitama, 338-8570, Japan.
authors.forename: Jun
authors.initials: J
authors.lastname: Ohkubo