Nonlinear Kalman filter based on duality relations between continuous and discrete-state stochastic processes

Abstract

A new application of duality relations of stochastic processes is demonstrated. Although conventional usages of the duality relations need analytical solutions for the dual processes, we here 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.