A small time approximation for the solution to the Zakai equation

DOI10.1007/s11118-021-09950-zOpenAlexW3200354872MaRDI QIDQ2687076

Ramiro Scorolli, Alberto Lanconelli

Publication date: 1 March 2023

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.12416

zbMATH Keywords

Wick productnonlinear filteringZakai equationFeynmn-Kac formula

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• A Stroock Varadhan support theorem in non-linear filtering theory
• Stochastic partial differential equations. A modeling, white noise functional approach
• Explicit strong solutions of SPDE's with applications to nonlinear filtering
• Approximation of the Zakaï Equation by the Splitting up Method
• An approximation for the nonlinear filtering problem, with error bound^†
• Functional Integration and Partial Differential Equations. (AM-109)
• Stochastic partial differential equations and filtering of diffusion processes
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• ON CONDITIONAL DISTRIBUTIONS OF DIFFUSION PROCESSES
• Nonlinear Filtering Revisited: A Spectral Approach
• Gaussian Hilbert Spaces
• Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions
• On the optimal filtering of diffusion processes
• On the stochastic differential equations of filtering theory
• An approximation for the Zakai equation
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A small time approximation for the solution to the Zakai equation