  This letter is concerned with solving continuous-discrete Gaussian smoothing
problems by using the Taylor moment expansion (TME) scheme. In the proposed
smoothing method, we apply the TME method to approximate the transition density
of the stochastic differential equation in the dynamic model. Furthermore, we
derive a theoretical error bound (in the mean square sense) of the TME
smoothing estimates showing that the smoother is stable under weak assumptions.
Numerical experiments are presented in order to illustrate practical use of the
method.

Numerical Analysis;Numerical Analysis;Methodology