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.
- Received 14 May 2015
- Revised 4 August 2015
DOI:https://doi.org/10.1103/PhysRevE.92.043302
©2015 American Physical Society