Pathwise approximation and simulation for the Zakai filtering equation through operator splitting

DOI10.1007/BF02575854zbMath0819.65149OpenAlexW2085908373MaRDI QIDQ1346980

V. Pereyra

Publication date: 5 September 1995

Published in: Calcolo (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02575854

zbMATH Keywords

convergencenumerical examplesstochastic partial differential equationsoperator splitting methodspathwise approximationZakai filtering equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

The discontinuous Galerkin method for stochastic differential equations driven by additive noises

Cites Work

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• Approximation of the Zakaï Equation by the Splitting up Method
• Time-discretization of the zakai equation for diffusion processes observed in correlated noise
• La méthode d'approximation de Gauss-Galerkin en filtrage non linéaire
• Semi-discretization of stochastic partial differential equations on r^dby a Finite-element Technique A. Germani
• Approximations to solutions of the zakai filtering equation
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering

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