Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Application of Girsanov Theorem to Particle Filtering of Discretely
  Observed Continuous-Time Non-Linear Systems   This article considers the application of particle filtering to
continuous-discrete optimal filtering problems, where the system model is a
stochastic differential equation, and noisy measurements of the system are
obtained at discrete instances of time. It is shown how the Girsanov theorem
can be used for evaluating the likelihood ratios needed in importance sampling.
It is also shown how the methodology can be applied to a class of models, where
the driving noise process is lower in the dimensionality than the state and
thus the laws of state and noise are not absolutely continuous.
Rao-Blackwellization of conditionally Gaussian models and unknown static
parameter models is also considered.

31
The categories of this paper are: ao-sci
1
The categories of this paper are: cs
33
The categories of this paper are: plasm-ph
17
The categories of this paper are: q-fin
9
The categories of this paper are: nlin
37
The categories of this paper are: supr-con
26
The categories of this paper are: bayes-an
27
The categories of this paper are: comp-gas
8
The categories of this paper are: hep-ex
14
The categories of this paper are: math-ph
4
The categories of this paper are: cond-mat
21
The categories of this paper are: adap-org
36
The categories of this paper are: cmp-lg
10
The categories of this paper are: q-bio
20
The categories of this paper are: acc-phys
0
The categories of this paper are: hep-ph