2 code implementations • 8 Jan 2020 • Zheng Zhao, Toni Karvonen, Roland Hostettler, Simo Särkkä
The paper is concerned with non-linear Gaussian filtering and smoothing in continuous-discrete state-space models, where the dynamic model is formulated as an It\^{o} stochastic differential equation (SDE), and the measurements are obtained at discrete time instants.